Buying on the Internet is very safe.
There is a chance they won't send the item(s), there is a chance your order will get lost in the mail, and there is a chance a hacker will steal your credit card information.
But there is also a chance you will die in a car crash on the way to the store.
And I am pretty sure the car crash thing is a lot more likely than any of the potential problems with ordering online.
I have ordered an embarrassing amount of stuff off the Internet, and I have never had any problem (with shipping, rippers, or hackers).
Just try to order from a professional and respected site, and not "Joe's Knife page" that asks you to email your credit card information and ships via "my friend Jose."
For example, if you order from New Graham, they will send your knife. They have a secure ordering process, so very few hackers would be able to get your information, and those than can wouldn't bother. And something being lost in the mail now-a-days is very rare.
I have even ordered from some very "questionable" webpages and always got my orders. Just because someone runs a small-time business from their home and is not great with HTML, doesn't mean they aren't honest. But like I said above, you can minimize your risks by going with "known" sites.
It is also more risky to buy from private sellers rather than businesses, as they are more likely to not send your item. But it is still pretty safe.
Ordering online is very easy. The hard part is the waiting. Much of the reason I buy stuff in stores (when I do) is because of the instant gratification. If I want a new knife, or some new jears, or whatever, I can go get them right now. Online, I have to wait 2 or 3 days, which can kill the "I want a new knife right now!" buzz.