I'd be interested to know about mail order as well. My friends all wanted me to mail order at least one fish just for the fun of getting a fish-in-a-box and finding out how they are packaged. But I didn't.
It of course depends entirely upon who you are purchasing from.
Yes, there are many reputable fish breeders and importers on the internet that have very high quality fish (much better than LFS) and know how to ship them properly so that the fish arrive safe and sound. But there are people out to make a buck too.
So do your homework and make sure you're buying from someone with a reputation.