shipping is stressful on anything, but there are lots of companies out there that know what they're doing and have really good track records. If you're thinking about one in particular you can check the feedback forum here, and I'd check the ones on reefcentral as well.
I've only ordered online a couple times, just because I like to find really colorful specimens when I'm looking for something. You can see them in a store, you just don't know what you'll get when you order online, even if it's healthy it may not be quite as bright as you'd like, or as small/large, etc...
B