I'm always a little worried when buying a gun, sight unseen, but have yet to be burned. The internet opens up a whole world of guns you might not otherwise see; so, I'll take the chance, if it's a gun I really want, and can't find locally.
Make sure the seller is established, with great feedback. Gunbroker lists their number of transactions and feedback, and even has Top10, Top 100 dealers. When the gun arrives, at your FFL, give it a rigorous inspection (end-shake, lock-up, no push-off, no frame cracks, timing, no rust, check BC gap, bore, etc.). If the gun doesn't check out, refuse the transfer. This is where it's important to use a reputable dealer, who will refund your purchase price, although I've never had that issue.
Good luck in your search!