Like most things, you get what you pay for. A good LFS (not the majority, unfortunately) will quarantine livestock for a week or two before selling...that reduces the potential risks to your tank and justifies a higher price. Plus you can see exactly what you're buying and know what it is eating.
I've never bought fish online (I have bought cleanup crew though) but I'm lucky to have two great LFSs nearby that are worth every penny of the the extra expense.
There are two reasons that I can think of for ordering fish for direct delivery. First is to save money--incidently that $20 charge you mention is probably before $30 in overnight shipping charges. To save money, though, you need to be buying several animals at once since the shipping charge for one anthias or 20 anthias is likely the same. (Some online vendors ship free for a minimum purchase--$200 - $250 is common.)
The second reason is to obtain a specimen that LFSs in your area won't bring in. Again, a good LFS will earn their 100% markup by special ordering and then quarantining for you.
Before either of those reasons comes into play, though, you need to be prepared to deal with the new arrivals. You will need to do the quarantine yourself and take the risk of receiving animals that are sick, wounded, not eating, etc. Of course, ordering in several animals means that you need to have adequate space for a sudden population increase in your both QT and eventual display tank.
All that said, some online vendors will be more reliable than others, just like different LFSs. Use the sponsor forums and vendor feedback forums here on RC to read others' experiences.
