The best and most established sites that I've found are
www.gunbroker.com and
www.auctionarms.com. The Gunbroker site looks and works almost exactly like eBay. I've found that it's hard to find good deals on guns online because everyone is asking top dollar and by the time you add shipping and FFL charges you might as well go buy it new. I'm sure there are some deals to be had but you have to look closely.