The issue of possible lost shipments is the same as it would be with any pre-internet mail order or catalogue company purchases, and is more an issue of the shipping service being used (whether US Postal Service, UPS, or whatever) than the "e-tailer" that you are buying the item from. Also like other mail order buisinesses, if you stick to the bigger, more well known companies (like Amazon) you are pretty safe. If you go with a small comany that you found an ad for somewhere and that noone you know has ever heard of, much less done buisiness with, then you run a bit more of a risk of getting burned by a fly-by-night operation (which is not to say that a new e-tailer can't also be comepletely on the up-and-up and provide great service).
Of course, if there is a problem with the item it can be a bit more of hassle to return / exchange it than it would be if you could just drive back to the store. That doesn't mean that you can't do it, just that the process can be more time consuming.