Just the same dangers you get from any supplier: the posibility of disease, and poor genetics. I really prefer to see and pick out the individual fish I want, but that's not always possible. I'm ordering my african cichlids through the mail because there isn't much choice locally, and the ones that are local are generally poor quality. If you are ordering through an LFS, as long as you trust them I wouldn't worry too much. If you are ordering online, ask to see pics of the actual fish they carry, or see if you can find reviews of the seller.
One advantage to different suppliers is if you breed you can widen the gene pool of the species you breed if you get a few from each different supplier.