If you pay by credit card, you are protected that way. If the merchandise does not arrive, and you have contacted the merchant and given them the opportunity to make it right, then you can contest the charge, through your credit card provider.
Remember, though, that things do sometimes get lost in the mail, and it happens more often with international orders because they go farther and have to pass through more hands along the way.
The important thing is to contact the merchant first, before disputing the charges. If you don't tell them that the goods didn't arrive, how are they to know? They can't make it right if they do not know there is a problem.
One thought: some online merchants state that they will not be responsible for packages that are lost in the mail. Even so, if you don't receive your merchandise, the credit card company will still back you up.
As to my store - we ship lots of packages internationally every day, and we make sure that they are all insured. Just in case...