I buy all sorts of things online, camera gear included. Amazon is good, B&H, Adorama, Samy's, many others. I've never had a problem.
The one thing I won't do though is go into a local shop to look at a camera and ask questions about it and then walk out and order it online to save a few bucks. I figure that if I'm going to take advantage of a shop's knowledge and accessibility and actually use the shop, I should be willing to pay the premium and buy what I'm gonna buy at that shop. I worked in a camera shop for a while and even in those pre-internet days, it was a real drag to have somebody come in and take advantage of all of your knowledge and see and handle all of your gear only to have them walk out and buy it from an ad in the back of a magazine (or today, online). I bought my LX5 and Nex locally because I really wanted to handle them and check them out before buying. And I buy most accessories and little stuff locally because unless things have changes a LOT, the shops make more on bags and filters and other accessories than they do on cameras anyway, where the margins tend to be really small.
But if I know exactly what I want and don't need to check it out or ask questions beforehand (many of which I get answered here or elsewhere online), I'm very happy to shop online and save a bit.
-Ray