I have. I order nearly all my shoes online because there aren't many place for me to go nearby to get good selection of non-leather shoes.
My favorite online shoe store is Moo Shoes
. I have never had to return anything to them, but my girlfriend has and the return process is very easy in case fit is not quite right. They are in Manhattan, though, so you could perhaps just go to their store. They seem to have a decent selection of men's dress shoes.
Then there is the mainstream Zappos
. They have a vegetarian shoes selection. I have had good experiences with them as well.