You can always ask your LFS if they can order a fish. Sometimes if they don't have it, they can get whoever they get them from to put them on the truck next time they deliver. I checked 2 different stores to see if they could get fish for me special order when i was setting up my 20gal. This would save you the huge shipping for overnight fish anyway.
I ordered some stuff from liveaquaria.com once, but nothing was live.....just a filter and some other misc. stuff. I guess they are a pretty good place to get things, but i would think mail ordering live fish is luck of the draw since anything could happen along the way. Then again, i suppose that is how the fish get to the dealers that sell to the LFS..