Probably nearing 100 transactions or so (Of which I only have feedback for about 50... damn stingy feedbackers), and never had a major problem yet.
I did have a couple of minor problems: Once I bought something from a guy, was very pleased with the service... I tried to buy something again from him, and found I was blocked from bidding on his items. I've tried a few times since on his auctions, still blocked. E-mails to him have gone un-answered. Dunno what went wrong there... Another time I bought an RPG book and the tear-out map insert was missing (This was not noted in the auction) I got a good deal on the product, though, and didn't really need or want the map anyhow, and he appologized and offered a refund when I contacted him, so I just left neutral feedback and kept the product.
Never sold anything, though.
In general it's safe, but as other people have said, check feedback. But be suspisios if you see a long string of identical feedbacks... Feedback Inflation is a (sadly) very common occourance on e-bay.
One note, though... The old adage generaly holds very true: If it seems too good to be true, it probably is. If you see a buy-it-now price of some insanely good deal, it's probably not a safe auction. This is VERY true when dealing with software... Even if it says retail packaging, it generaly is copied. It's true to a lesser extent when dealing with electronics like computers. And when buying whole-systems, always check to see if the seller offers a DOA policy... If they don't, be VERY carefull.
With rare RPG items, if you see an insanely good deal (Temple of Elemental Evil, Buy it Now for 9.95 for example), it's probably one of four things: An outright scam, a bad item (severe water damage, missing pages, etc), an illegal copy (either xerox or a .pdf burned onto a CD), or another product alltogether (Frex, substituting RttoEE for the real deal) alltogether.
Likewise, READ THE FINE PRINT... Many times this is very revealing. One time I almost bid on an SGI monitor, but in a long string of miscelanous text, snuck into the middle covertly, was the line "This monitor does not work. Might be a good project." Considering the bid was over $200 at that point, I'm guessing plenty of people never noticed that line. Likewise, be sure you are getting what you think you are... I've seen people sell computer cases as whole systems, for example, and you wouldnt know it unless you payed carefull attention to details... likewise, some auctions are only information on how to supposedly get the item cheaply... another to stay away from.