I have purchased a bike, a set of wheels and a frameset from private sellers. All good experiences. I did a lot of shopping and contacting sellers before making bids on any of these items. Regarding the bike, I offered to pay the extra to have a local bike shop pack it. It arrived safe and sound. As mentioned above, you don't want the wheels gouging the pain in shipping, so insist on a professional packing job.
I picked up a 2006 Ventana x5 with SRAM, dues and avid on it, too new to even have cable rub on the frame for $1800 (spec'd out on Competative Cyclist for 4600). Also purchased a 2006 Look 585 frameset, like new for 1400. Months of cruising ebay went into those two deals. I passed up some great deals that didn't feel right after contacting the seller.