I have bought several things online. I have a good, local FFL who only charges $10 for transfer, and I save local sales tax too. While I like to (and do) support my local shops, sometimes the online prices and tax savings are hard to pass up.
Over half of my online purchases have been from Bud's guns, and those went without a hitch and arrived very fast.
The other half have been from other shops that I was less familiar with. Those sales also went fine but I did my research in advance and sifted through gun forums and online reviews. Also I paid with credit card to ensure I could dispute the charge successfully if something went wrong.
I've never used the site you mention so I'd encourage you to do some googling -- then filter out everything that may look like the sites own employees bolstering their own online presence.
I have purchased an AR from them and as well as getting a killer deal, was a very good experience. Fast shipping etc. Read the info on their site about needing to have your FFL dealer sorted out during the purcash. My purchase from them was my first online firearm and it went without a hitch.