I have not dealt with FX so I don't know how good they are, but I want to comment on Surfesq's comparison and specifically want to comment on North, and Haarstick, both of which I have dealt with quite a few times in the past. There are big differences between the better sail lofts and the smaller, mail order, and bargain lofts.
The big lofts often use far more sophisticated cutting programs and have access to better cloth testing. Haarstick in particular tests every piece of cloth that they use rejecting a fairly high percentage of the fabric that is sent to them. That rejected fabric goes to lofts who do not have the same ability to test and reject fabrics, typically a less price but not always. (I understand that North has a slightly less extensive quality control testing program.)
I believe that North has gone to radial construction on almost all of its mainsails except on the smallest boats. Radial construction is more expensive to build but produces a sail with better shape, much less stretch (which translates to a bigger wind range with less heeling, weather helm, and leeway, and more safety and comfort at the high end of the windrange) and most importantly, a greatly expanded lifespan. All of the other lofts specifically say that their sails are crosscut rather than radial. (North's proposal does not say but they usually submit a cutting diagram with their proposals and that includes all of the details of the sail.)
I have found that North is quite expensive if you simply ask for a quote, (15% or so more on an apples to apples pricing. I suspect that Surfesq's quote is not an apples to apple quote, North being radial which can add 10% or more to the cost of the sail), but there are times of year when North offers pretty big incentive programs for purchases, and during those times they are usually about the same price as the 'bargain lofts' making them a real value. I ususally talk to the loft well in advance of placing an order, getting the boat measured and all of the decisions made, and then place the order during one of these periods when there can be as much as a 15-20% mark-down.
Being able to discuss a sail with a sailmaker can be extremely important. For someone like myself who really cares about the windrange of a particular sail, I will emphasize how I want a sail cut in terms of optimum performance range and depth of camber. There can be an extremely huge difference in the wind range of any two particular sails of equal size depending on the small scale specifics of how each sail is cut, and that kind of cutting pattern detail is hard to do with a loft that does not have as sophisticated a cutting program, but details like that can really make a huge difference in how much sailing vs motoring you end up doing, or how over-powered that you are at the upper end of the windrange.
But is more than that as well are personal preference details. I get my single-handing sails cut so that they will flip off of the lifelines by tapping on the lifelines without me having to go forward to skirt them. In the highly variable and often lighter winds of the Chesapeake, this becomes especially important. Getting the lead, clew height, and foot shape right is a highly developed artform. You are not going get that right with a mail order sail loft, and, frankly, even with a local sailmaker, they occasionally miss on this and have to come out with the sail up, take notes and do a minor recut. Having him here to look at and pick up the sail and to not have to try to get this sorted out "by guess and by golly" and by shipping the sail back and forth can be a real advantage.