I've done Ebay. Worked out ok.
I've done Golfsmith. Same quality as the store.
My dad did some small-time club builder. Took forever to get the clubs and he had to threaten to reverse the charges.
I've bought 3 or 4 clubs on eBay and no real problem. Once, the package got lost in transit and I had a hard time reaching the seller, buy PayPay reimbursed me.
Buy from TGW.com I've done it for my Titleist Irons (custom length and lie) and also on my Ping putter (again custom) The were there very quickly and the cheapest I found anywhere. I also ordered a golf bag on-line from them and had it two days later with regular shipping.
Next time I need a club I will order from them.
Check the site out yourself. Oh, they also don't charge tax.
This is a company in Maine. I've bought a Titleist iron set and a Cameron putter from them, and saved about $300 total. They have great customer service and are really helpful. The website is not the prettiest thing by any means, but you can call in an order if you're having problems and save a shitload.