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?