I've purchased hundreds of guns online with mostly good results.
Like any online seller, the educated buyer gets the best results. As said above, check feedback, check shipping costs, and check how much your receiving FFL is going to charge you for the transfer. Put a number on the gun, the maximum you want to pay including all of the above and don't exceed it. If you have any questions, ask them well in advance of the auction closing and see how you like the answers. No answer, don't buy.
As in most auctions, live or online there are very good deals and very bad deals everyday. Most are in the middle, but in general I'd say that prices on gunbroker will be higher than you can obtain the same gun for at a good gun show, but who knows how many gun shows you would have to attend to find that particular gun.