I've bought stuff directly from buy.com many times, and from third parties that list on their sight a few times.
I've never had a problem with the direct buy.com purchases, but I've heard they can be a pain to deal with if you have to return something. But I've only heard that second hand, I've never had to return anything.
I had a problem with one of the third parties claiming they shipping something when they never did - they even admitted they never did, that they just marked all purchases they got from buy.com as "shipped" as soon as they got the order, not when they actually shipped anything. That turned into a mess to deal with. So watch the merchant reviews if you go with a third party (although in my case it didn't help because the problems with the merchant all showed up after I ordered).