I regularly buy from the US and in over 100 purchases haveonly had two problems both resolved. One parcel ended up back in the US with the sender after a couple of months, it was returned by the Turkish Customs or Post Office as uncollected despite never getting onto the Turkish Mail computer system or ever reaching our local Post office, patience & good liaison with the seller here on APUG meant there was no mistrust, I paid for the item to be posted to the UK instead and it arrived in a few days. Another item went missing at O'hare but this had been sent by a company who I later discovered have a very poor reputation, ebay had closed his account, he never filled out the USPS claims form which only the sender an initiate for compensation.
Most of us factor in the shipping costs and potential Import Duties which are sometimes levied in the UK/EUbut as US prices are very significantly lower on both new and secondhand items it's still a worthwhile proposition. In fact as Steve says the costs of postage US to UK and vice versa aren't much more than internal postage in the UK.