I recently made my first online purchase from The Empire Arms.
http://www.empirearms.com/
Great customer service, good quality arms for sale there.
On a related topic, here's another thing to think about when deciding to buy online vs. local store: Sales tax.
Currently there seems to be a misconception that buying online from an out of state dealer means you don't have to pay any sales tax, whereas if you buy it from a store in town you do, so you're saving money if you buy online.
Now while the out of state dealer won't collect tax from you if you're not a resident of his state, you are in fact supposed to report these out of state purchases to your own state's department of revenue and pay the sales tax on it to them.
[waits for everyone to stop laughing]
Okay, this is currently more of an honour thing and truth be told most states' depts of revenue don't have the means to enforce it if you don't. However, most of the state governments have gotten together and are about to put into place a streamlined sales tax program that allows sellers to collect tax on purchases made anywhere in the U.S., outside of their own states. This means that you'll be paying the same sales tax on a rifle whether you bought it online from a different state or from your local gun shop.
Sort of takes away that particular advantage of buying online, eh?
