Not entirely true.
I've bought shoes online from
zappos.com and
shoebuy.com and both have free shipping both ways. At the time I lacked the courage to go try them on in a store, so I did the mens' size +2 thing, narrowed down some I wanted, and ordered.
It doesn't always work, of course. But free returns, plus usually being able to find a coupon code for another 10-20% off - and shoebuy gives you a frequent shopper discount, i think an extra 10% off within 30 days of a purchase, so you can find some good deals.
Try them on with different types of socks (different thicknesses work for different shoes) and walk around the house on carpet and tile for a while. Sit at the computer with them and see how they breathe and if they're too tight or loose.
A lot of shoes, these days, seem to not really need the breakin period that shoes used to require.
Don't skimp on cost! I teeter totter between real expensive shoes and real cheap shoes and I always suffer for the cheap ones. Even if a $10 pair of clearance boots from wal-mart are my current favorite pair.