I've never ordered a gun online, but I've ordered ammo from sportsmansguide and the-armory. I've heard nothing but good things about AIM, and they have some pretty good deals on Sig P225's and C&R guns right now. I hope they still have some CZ-82's in stock 6+ months from now.
I've heard from quite a few people that Ordnance Outsellers and Rainier Arms were great online dealers as well.