I frequently buy from Ebay. Pretty much all of them.
The US is the best for availability and prices, but many people will refuse to ship outside the US. (Bastards!!!)
The reason, of course, is that there are often issues with the shipping.
Anyway, my rule of tumb is not to buy anything too large. Pedals are fine, as are things like computer parts. Guitars are out as are amps.
I try to get people to declare the item as a gift, then I do not have to pay import tax on them.