I've been pretty lucky with regard to shipping stuff. But a good friend of mine had so much horrible luck on eBay that he refuses to even mention the place, let alone actually go there.
I was actually with him during one of the worst moments around 10 years ago. We were building a custom Macintosh computer out of a variety of unique but compatible parts, and needed a very specific motherboard for our little project. Found one on eBay, bid & won, and it came to us wrapped in sticky plastic grocery bags and damp newspaper. Surprisingly, it actually booted, but the machine was far from reliable. Often times it would play random tones from the onboard speaker and of course experienced lockups and crashes. We ended up having to find another board for it.
As I said I've been lucky for the most part, but when I ordered the parts for my current computer the box came with a fist sized hole in the bottom. If the motherboard box hadn't been jammed into that same corner, the RAM and CPU boxes would have probably fallen out. I also once had a seller ship a tiny adapter in a regular letter envelope, and the envelope was all I got, along with an adapter sized tear in the corner of said envelope.