I have bought guns online, but it is only after seeing the particular gun in person somewhere. Buying online can be a very good deal, especially if you are buying brand new or NIB (New In Box) as the auction sites put it. The only issue might be (but has never been with me so far - knock wood) is that you don't actually get to see the gun before you buy it. You get the one they happen to pull off the shelf when they are processing your order.
If you buy used, especially from an individual, it is always an iffy proposition unless you really know guns well enough to determine its working condition.
Scott