I've bought a few fish online and had no trouble. Bought from Saltwaterfish.com and it's shipped Fed Ex overnight with each fish in its own bag and all packed nice and tight in a styrofoam box. And depending on what time of year they also pack heating or cooling pads for the trip.
Lets face it..your LFS gets their fish in a similar way only difference is we have to pay more when we get it from the LFS. I found online fish and coral purchases to be a reliable and cost effective process.