I've bought a few off Craigslist. Usually you can get a pretty good idea if it is on the level from the eventual conversation by phone. I always take a buddy, both as a security measure and to help move the pin. I once went into a sketchy neighborhood and probably should have walked away, but it was alright. I just wanted to get out of there before the sun went down.
Ebay went ok, most of the time, and has the disadvantage of fees and shipping. I've never used Mr. Pinball but look at it frequently. Pinside worked well - bought one game through a Pinsider and arranged a trade with another.