Here is my experience of bying stuff and I am based in a country which mail system is not as great as in the US. Actually, many US sellers do not like to mess with Russian customers.
My success rate in getting the mail is about 99%. It happened only once when I didn't get the package and it was partly my fault -- in a month I forgot about the coming shipment, it went to my second home address, I was away from home and the package returned back to the Netherlands and lost somewhere in the mail. I lost about 50 euro, but learnt some lesson of tracking things!
Thus, the rule number one: always ship with tracking. It's easy to track down the package whereabouts through the Internet. Even in case of snail mail you know if it reached the customs, customs cleared or not etc.
The rule number two deal with people who have references or participate the forum. Once I was tricked out by a fellow from SF (nickname Bombaygoose on evilbay) who made a "second chance offer" to me off the site and I didn't realize it was not the eBay purchase. OK, I learnt my 2nd experience.
The third rule be patient! It takes at least a couple of months to ship from the US to overseas. Once I bought a bunch of S&T magazines and it took 3 months to deliver. Since then, I prefer the US purchases to be shipped to my friend's address in US - waiting time is much less! Although recently I bought a Luigi case from an Ozzie fellow and it took only a month and a half to reach Russia - not bad!
And the last advice you should have some trust in people. A year ago I bought a Contax-Leica adapter from Amedeo Muscelli here. He shipped to my address it took a month and a half to deliver to Moscow... but the thing was not delivered to my address for whatever reason! So the adapter was returned back to Venezuela by the mail service. Obviously, I apologized to Amedeo and told him I would pay extra for the 2nd shipment although I don't know why this happened. Anyway he wrote the address in Cyrrilic again and I got it on the 2nd attempt (I even didn't pay for the 2nd shipment).
Sh..t happens, but it doesn't happen all the time. Besides you have a pleasure to communicate with people around the world. Sorry for the long message!