I did once while abroad. None of the shoe stores had the style I wanted in wide, so I went on Amazon and found a pair which reviewers tended to say fit well. Particularly that the listed size matched their expectations when they tried the actual shoe on. Ordered the size I thought would fit me and it did in fact fit me perfectly. It lasted about a year until it started leaking at the glued seam, which to be fair, wasn't too disappointing for a 48-Euro no-name pair.
Granted, that was for men's hiking shoes, can't really speak for finding good high heels online. Other than for that one-off occasion, I've only shopped for shoes and clothes in-person.