I tend to only order things that I am nearly certain will fit. Often, it may be an item I already tried on in the store, but didn't buy because I waited to give myself a cooling-off period.
I can order fairly confidently from BR because I find their sizes are quite consistent and I know enough about their merchandise to be able to determine which items will fit and flatter, and which probably won't. When in doubt, I will just go to the store to try on.
I have ordered occasionally from ATL online, but the merchandise I rec'd didn't seem to be the same quality. These were items I tried on in the store, may have even purchased but wanted to duplicate.
Jeans: I will usually only order a brand and size I already have, or have tried on and know fits. Exception: if the customer service people will be kind enough to take a few more measurements of the garment, I am apt to give it a try (and this has worked well in the past). I will say that jcrew has the nicest customer service. Still doesn't change my mind about ordering though.
Bluefly: only thing I order from that site is sweet pea tops, because I already know my size and know they tend to work for me.
Shoes: I stick to ordering brands that have worked in the past. Shoes are probably the item I end up having to return most often though. I like Zappo's because they make it easy. I do not like piperlime because you can't just drop them off at BR store. (I'd much rather return at the store, rather than the post office).
Jcrew: I will never order online from them. They have the worst shipping policies. I used to order petite clothes, but found the sizing was entirely inconsistent - there was no rhyme or reason. So I stopped. I will only buy jcrew if I try it on in the store and it fits. They don't carry petites in the store, so that relegates me to the occasional XS or 0 that works. Most of their clothes are too big on me, even in the smallest size.
Department stores: again, I only order items I have already tried on first in the store. Either I waited for a sale or a cooling off period, or I wanted it in a different color, or they didn't have my size but I'm fairly certain the other size will fit. There are a few exceptions, like once I ordered a bathing suit. But I had to return it.
My DH handles all my returns for me, on his way to work - he says he doesn't mind. But that does make me think twice. I hate putting him out too much.
I am more apt to use the internet to figure out which store I want to hit, and what I want to try on, before I venture out of the house!