Aside from green or exotic wavelengths, and the occasional cool looking host... there is absolutely no good reason not to buy right here through the forum imho.
As for customs, generally not an issue. Some companies like wicked for example, are on a watch list, so chance of seizure is greater.
Even so, only a very very small quantity of packages are closely scrutinized, not sure if that's a good thing, but for the laser hobby I suppose it is:undecided: