I've had two great experiences ordering online - one from Bud's and one from CZ Custom - As long as you are ordering from a reputable dealer, and you have a shop who accepts transfers lined up, it's really a piece of cake. Just make sure you contact the dealer you're going to have it transferred to first and make sure they don't have any special instructions for the seller.
Bud's is really easy because they have a list of FFL info they already have copies of all over the country, so you find yours click on it and the gun is shipped within a day or two (usually). If the seller doesn't have your dealer's info, you just have your dealer fax over a copy of their FFL to the seller and that's that.
I'll admit I was a little unsure the first time I did it too but it's very routine nowadays. Good Luck!