As far as I'm aware donating to a local shelter or local humane society doesn't help HSUS, however donations to HSUS do not get forwarded to help any shelters; like tbowman said, only about 1%.
It sounds crazy, but I actually prefer PETA to HSUS because at least they are honest about their goals and agendas, regardless of how unpopular the ideas are. Not saying they've never done anything shady, but everyone knows exactly what they stand for. HSUS is sneaky about it and tricks people into donating under false pretenses.