buying a bike is a lot like buying clothes. If you are an easy fit, it can be a great way to go. I have had good luck with it. If you are difficult to fit, or are picky about things, it might be a better bet to be able to test ride something before you commit money to it.
I have mail ordered lots of racing road frames but I build all my own bikes and am a really easy fit. In fact, I can ride most anything on the market from 53 to 56 comfortably, but I am lucky. A friend of mine has a really difficult time fitting on a bike and had horrible luck ordering a Kuota triathlon bike. He saved 200 on the purchase but ended up spending close to 600 getting it professionally fitted.