So far the only real problem I've had is with Play.com and I won't ever order from them again. They posted the AC: Brotherhood Codex Edition in a crappy plastic bag and the end result was not pretty. Their customer service is the worst I have ever experienced.
As for Game, Gamestation, Amazon and HMV I've had no problems so far and the customer service from each of them has always been good. The odd missing item but nothing that wasn't sorted quickly.
I'm waiting for an order from Shop-to so I will see how that goes tomorrow.
Did I mention I really really hate Play.com?