Always, ALWAYS pay for insurance on shipping!!! And make sure they send it with a signature required upon delivery!!!
I learned that the hard way. I bought three DC games from a gamestore through eBay. They had over 2000 positive feedback and only about 3 negative (which were all people complaining about items, IE: "game was for GameBoy, not GBC as advertised"). They got the money, but the games never arrived. Based on all their positive feedback and the fact that they did respond to my e-mails, I don't believe they were scamming me. The only thing I can figure is that the package got lost by the USPS. If I had paid $6 more for insurance and signature required, I wouldn't be out the $53 I paid for the games.
But overall, eBay has been great to me. That's where I got my DC and most of my GameGear games. My 3DO also came from Yahoo Auctions. (Yahoo Auctions can be good sometimes because there aren't as many people bidding as on eBay. Problem is, most of the items put up for sale are by "pro-sellers" who have inflated starting bids.)