I recently ordered a MacBook Pro from MacMall and everything went fairly smoothly. I ended up getting VMware Fusion, Parallels, an Epson all-in-one, and the brand new MBP for less than you'd pay for the MBP alone -- and before sales tax -- at the Apple Store. One of my rebates (the UPS free shipping) was inexplicably declined, but a phone call sorted it out in about 30 seconds.
I've heard some horror stories about MacMall, though my experience with them has been good. Given their competitive after-rebate prices and the great 48-hour shipping times, I'd probably order from them again. If you're willing to pay more for a pretty cut-and-dry transaction, go Amazon or the Apple Store.