I've also bought quite a few guns off of most of the popular auction sites, and never had a serious problem. Second the suggestion that you look at the seller's feedback, be sure you know what you're buying, understand the description fully, and be sure all the pics are nice and clear. Fuzzy pics are often fuzzy for a reason I believe.
Ask about an inspection period. I've never used one, but then I understand fully what I'm buying. Don't hope for the best, we know how that works out, don't we? Call the seller and ask about anything you're not 100% sure about.
Use a credit card or POMO to pay and you have at least some protection. Never use Western Union or cash, and be sure of your receiving FFL before doing a deal. The final worry is how much the FFL will charge you for the transfer.