I think Ebay is great. Thanks to Ebay I been able to collect many older HL's, some at a super bargain, some moderately priced. Free's up some budget to purchase newer HL's at my local dealer.
I have been burned once.
I won an auction for a Wrestling figure my nephew wanted. Paid with a MO. I now only participate in auctions that accept Paypal. Not sure if that's a false security.
I did receive a couple HL's that had a broken piece on them.