I generally get most of my corals at the LFS, or go to frag swaps (not so local, but worth the trip).
I did order from Live Aquaria for a few corals. They have a great reputation, and a guarantee on most of their livestock. I got aquacultured corals from them, because I prefer to get those if I can. There are certainly some shady dealers out there online (and in stores), so check out reviews before you choose a dealer.
Shipping is always the killer with online buying. It's just not worth it unless you're buying either lots of corals or expensive corals.
If you do choose to order online, make sure you're home to receive them. I had them sent to my office, as they deliver early in the day and the temperatues at the office are controlled. The last thing you want is corals sitting on your doorstep in the heat/cold all day.