I've used Gunbroker, and I've gotten some very good deals. In fact, I just bought a brand new Blackhawk for the best price I've ever seen. The seller included shipping, and my gun shop charges a flat $20 to handle a transfer, so that made the price unbeatable.
I do follow some ground rules to avoid being burned, even if that means missing out on some possible good deals. If the seller has all good feedback, and lots of them, that's a start. If the seller is also an established gun dealer with an address and phone number that you can confirm, combined with positive feedback, you're on very safe ground.