It's nice knowing that I'd still be able to use my computer in the case my online account gets compromised.
Also, I live in Australia. Getting a stable internet connection is hard enough. As we've seen from Sim City and Diablo 3, online-only has been proven painful for everyone involved.
Already signed in with a Microsoft account?
If you've already logged in with an online Microsoft account, you can convert it to a local account.
In Metro, type in "Users" and select "Settings". By default it searches Apps and you may have nothing in the results.
Now click on "Switch to a local account".
Follow the prompts. New password is optional.
Adding a non-Microsoft account user
For future reference, after Windows 8 installation you can create a local user immediately by clicking on "Sign in without a Microsoft account" at the bottom.