nailgunsdirect.com had the odd sized nails I needed for a project that were not stocked locally, they also have buyers guides which helped me decide a interesting new nailgun wasn't right for me. toolpartsdirect.com had the switch I needed for my drill, and a wiring diagram so I knew how to hook it up. Racketballworld.com had shoes in my size, and a lot of advice to step up my game. Those are just a few of places I've ordered from - there are many others that that I each which instead of selling everything and making me choose based on reviews only stocks quality products so I cannot go wrong.
I find when going to small sites there are lots of signs that they are not shady: they generate own reviews and advice that is more than marketing. A little poking around will tell a lot. And of course I buy with a credit card so I'm protected against loss in the worst case.
I can't say the same thing for a billion other little shops online. If you can't trust that a product on Amazon is legit, how can you trust some no-name site? I can't see how "www.Totally-Legit-Nail-Gun-Depot.info" can be any more deserving of trust than the largest online retailer in the world who has a better-than-world-class return policy.
That's like saying "I've been burned by bad doctors in the past, I'm going to have my brain surgery performed by this guy in an alley". I don't care how many patient referrals Alley Guy has, or that I have life insurance in case he kills me.
Better the devil you know, right?
But what's the Newegg of other stuff?