I have bought from Bud's, Gunboker and forum members.
Bud's has fair prices, free shipping and a long inspection/try out period. All good, but slow. It takes them a week or so to get you the gun by their standard method. This is really unacceptable, IMO.
Gunbroker is a nice format. You generally know who you are dealing with. They have a feedback system. The negative here is the most guns are listed overpriced. Actually, Bud's will beat the price of most Gunbroker dealers.
Auction Arms looks better than Gunbroker, but I can't ever find the right deal there. I have bought extras there.
Forum members. This includes people I've dealt with from about 5-10 different forums. Usually these people represent their guns well, trade at very good to good pricing and are stand up folks. Sometimes deals can be a little weird where they don't really want to say who they are....but I can tell you, the Internet is a funny place. If you search long enough, you can find most anybody. On the other hand, in a FTF deal I want the gun traceability trail broken. I don't want to give or receive more than we need to close the deal. For me, online, I have to know enough to call the local sheriff if the deal goes bad. I've never had to do that.