I buy most of my ammunition online. In the last year I've bought a lot from Sportsmans Guide. I'm going to sound like a salesguy for them here, but I've ordered dozens of times over the years and have never had a serious problem.
I've been picking up a lot of C&R military weapons, and a lot of them are chambered in (what are now considered) "odd" calibers. Even if they're not that odd, like 7mm Mauser, I can't find them locally for a reasonable price. A case in point, in the last year I got both an old Carcano carbine (6.5 carcano) and a Spanish Mauser (7mm). The only ammo locally available was about $30 for a box of 20. Sportsmans Guide has some for about the same price (on the 7mm, nothing in stock on the Carcano), but they showed that they usually carry PPU ammo for about $14/box. I sent them an email asking if they thought that these calibers were something that they would likely have back in stock. In just a day, I received a reply and the CSR said that they usually get a shipment of PPU ammo in these calibers in the spring time of each year (March/April) and that I should either keep an eye on the website, or just click the "notify me" button on the website.
Sure enough, the Carcano ammo came in stock about a month or so ago, and I was able to get some (shows sold out again now), and the 7mm just came in a week or two ago, and I have some on the way. It has been my experience that you can usually find a coupon code online for either free shipping or $5 or $10 off an order, sometimes with no minimum, and that usually covers the shipping cost. Most of the time, from the day that I place an order, it is only 3 or 4 business days until it shows up at my house (I think via Fedex, most of the time).
My only bad luck was a recent purchase of some Romanian 8mm ammo for my Czech mauser. And in fairness, many of the reviews stated that it would not fit in their various mausers. I bought one box (for about $11.50, I think) to try it out (since you can't return ammo), and it didn't work (bolt won't close). Anyway, that was a calculated risk on my part, because the reviews from other users made it clear that it didn't work in all 8mm mausers, so I'm not upset.
I also use Sportsmans Guide to buy bulk packs of .223, .308, 9mm etc. because I have yet to get into reloading. Right now, I don't take the time to shoot enough to really justify getting a reloading setup.
I've bought ammo online from some other sources when I've needed to, and haven't had any trouble. Just sometimes, as other folks mention, the shipping can be a killer.
Good luck and take care.
