Importing games involves a bit of trust. If you can't fly out to Japan and pick up some of the titles that haven't made it westward, you'll be at the mercy of letting someone else take your money, while hopefully delivering the goods in return. Many of these places do business from Hong Kong (where international law is a bit muddy) and quite a few seem a little shady, to put it nicely. While many are good, I've been burnt (or am in the process of being burnt) by some of them, so here's a rundown on my experiences.
Play-Asia - This is quite possibly the best import site around. Their large selection is updated constantly and I've had several good experiences with them, as they ship quickly and send notifications when an item is shipped or delayed. However, at the moment I do have an outstanding order for Fighting Vipers that was supposed to ship on January 29th.
Yamato-Export - Even though it's a French website, they've got English pages, too. I believe it's run by just one person, though it looks quite large. It's one of the few places I've been able to find a new Sega Ages Virtua Fighter 2. And for a price, they'll also scour Yahoo Auctions Japan to get that hard-to-find game.
DCS Links - Again, in the search for VF2, I came across this site. While they had it listed on their website, they didn't have it in stock. Fortunately, within about 12 hours (which I'm sure was due to the time difference), they e-mailed me, notifying that they didn't have the game and I was never charged. While I can't speak for shipment, customer service seemed good.
Toys N Joys - About two seconds after I placed an order, I read the review of this place and got the bad news. Everything bad you've heard is true. Even though it's a physical store based in Hawaii, their online counterpart sucks. Out-of-stock games are listed on their site, there is little to no customer support, and worst of all, they'll still take your money without having or intending to deliver your order.
Oddly enough, just as I was writing this, I finally received my order, two months after initially placing it. Though I'd paid extra for a tracking number, they didn't send it to me. In fact, they have failed to contact me for any reason, whether to notify me that the game had shipped or that they didn't have it in stock. Fortunately, I did receive all of my order, but everything was open and obviously used. I really don't feel like dealing with Toys N Joys anymore at this point, so I'm just going to be happy that I got anything at all and chalk it up to experience. What is the point of this?
DO NOT BUY FROM TOYS N JOYS.
One last note: While I can't remember its name, I tried to order Fighting Vipers 2 from a German site that was primarily an Atari dealer. I contacted them beforehand about the game and received a reply within minutes, so I thought all was well. After I placed the order, I never heard back, despite repeated contact attempts. Nevertheless, I wasn't charged, so no harm, no foul, I guess.