I've done dozens of deals through Gunbroker, both buying and selling. Most vendors there are solid.
If you're buying, you'll have to pay shipping (usually about $30 for a long gun) and the local FFL transfer fee (most FFL holders will charge 25 to 35 dollars, most gun dealers and pawn shops do FFL transfers). On the plus side, if you're buying from someone out of state , you won't have to pay sales tax - so it can balance out. Due to the amount of government oversight on firearm transfers, there is very little chance that you'll get scammed.
You can't beat their selection, anything you want, you can usually find there. Quality is usually better on auction sites than at gun shows, and unlike gun show dealers, most auction dealers give you a three day inspection period, so you have time to make sure the gun will run.