After Starcraft 2, Diablo 3 apparently has to do without LAN support as well. This is what Blizzard Community Manager Bashiok says in the battle.net forum.
Blizzard will never offer LAN support for any upcoming game again. What applies to Starcraft 2 will also be realized for Diablo 3. Multiplayer fun can only be experienced online via Battle.net.
Blizzard still justifies this procedure with piracy and security problems. The same argumentation was used with Starcraft 2 which was heavily criticized by the fans. When you are buying the retail versions, Starcraft 2 and Diablo 3 will be playable in Battle.net with no additional fee.