I usually order from Buy.com over Amazon.com, especially for music cds as Buy.com 90% of the time is cheaper. I don't order DVDs from anywhere but Deep Discount.
Anyway, the only bad experience I ever had with Amazon was actually with Toys R Us, which is an affiliate of Amazon or something. I ordered 3 PS2 games during a "Buy 2, get 1 free" sale back in November. All three games were listed as in stock and ready to ship within 24 hours. A week later I got an email saying that the delivery estimate would be around mid January 2006!
Anyway, I ended up getting them in early December, so it turned out not to be too bad at all.
Unfortunately all three games were pretty lousy and I sold them soon after. Since one was free, I ended up making money though!