Yes, I have purchased helmets online (from ebay) before, but only a brand/size I knew I could wear based on past experience. I would be very careful about a brand you haven't used before. On Ebay I was able to find a couple of Giro Havocs from a previous year (but still brand new in box) at an incredible price and bought two of them. Still wearing the second one but plan to replace it soon as it's quite long in the tooth now.
Emily
2011 Jamis Dakar XC "Toto" - Selle Italia Ldy Gel Flow
2007 Trek Pilot 5.0 WSD "Gloria" - Selle Italia Diva Gel Flow
2004 Bike Friday Petite Pocket Crusoe - Selle Italia Diva Gel Flow