Now before anyone flips their lid, let me point out that these transactions are fully legal and regulated. Federal laws are followed throughout; if the gun must be shipped, then it must be shipped to a Federal Firearms License (FFL) holder. Before a gun is released to the buyer, the required background checks are done by the receiving FFL holder. The FFL holder will often charge a small fee for his services.
Types of Sites
Most of the sites I've found follow the classified-ad or auction format, and are selling both new and used guns. In the past, most listings were placed by average folks looking to sell a gun they've decided to replace or just get rid of, but dealers are selling online more often.
These ads can also be a great place to find deals on holsters and accessories, oftentimes by small dealers who don't get sufficient buying traffic on their Web sites. I have bought a few guns online, and the process is not complicated.
First, you need to know where to start (I have added some links at the end of this article). Many categories are available on most Web sites, such as shotguns, rifles, revolvers, pistols, antiques, etc (it's helpful to know that semi-automatic handguns are properly referred to as pistols. Pistols and revolvers are not the same thing). Select the category you're interested in, and take a look.
You may find it helpful to search a given site, in a given category, for what you're looking for - but don't be too specific in your search terms. If you're looking for a Remington 1100 12-gauge semi-automatic shotgun, try searching the shotguns using just "Remington." If the results turn out to be too broad, try something like "Remington auto." The reason is, it's easy to miss listings that may not have been posted using exactly the "right" terminology re: make and model.
Look carefully at dealers' ads, or any ad that states they accept credit cards, and always, always, shop around! One of the best tools for this kind of shopping is a reference guide giving gun values, such as a Blue Book of some type. Purchasing a book of this type may not be feasible for the "one-time shopper," but don't rush into any deal, any time, without knowing the going rate for that make & model of gun, in its present condition.
The best way to find this out, short of buying a reference book, is to browse around different Web sites and local shops to see what's going for how much. This also gives one a good feel of a gun's value. Many of us will be looking to sell again in the future, and it's nice to know we're not going to lose money on a deal. Also, you should realize that Blue Book prices are not written in stone, and are simply to be used as a guideline.
New vs. Used
I seldom buy guns brand-new. I've never bought a new vehicle either, for much the same reason: I can usually get a used one just as good, for less, in most cases. I generally don't buy a gun unless it meets one or both of the following conditions: I must want it a heckuva lot and reasonably expect to use it (or at least drool on it) regularly, or it has to be a good enough deal that I can sell it for more money than I paid. You'll never lose if you follow this line of thought, and if you don't over-pay.