As far as possible I pay on arrival even if it cost a bit more... but it's of cause not always possible.
Most sellers want to have the money before doing anything but most of the times one can negotiate to pay for the S&H in advance and then the parts on arrival. That way you'll lose less money in case the seller decide to "dissapear".
In some cases where the items are sold "with guarantee" I've even been able to pay for the parts after testing it at home, though it's usually hard to get this trough since then it's the seller who take the chance... paying for half the stuff on arrival and half after testing is sometimes possible in these cases.