General Info:
It should be obvious, but nobody is going to ship a gun to anybody but a federal firearms license holder.  If you are an 01 or 07 license holder you should have no issues in that regard except for the exceptions listed listed below.  If you are an 03 license holder qualified guns can be shipped directly to you in most states. 

I doubt anybody on Gunbroker is an exporter, so don't ask about anything going out of the country.  Even things that do not require a license in the states may be illegal to export. 

The big thing to watch for is due to varying state statutes some sellers will simply refuse to ship to a few states no matter what.  Make sure you check your state is not one of those before you bid. 

Before being allowed to bid on anything on Gunbroker you will have to expose a certain level of information to Gun Broker that you may be uncomfortable with. 

Tip:
If you see a firearm listed for sale on Gunbroker that you are interested in buying that is legal for you to buy and own in your jurisdiction there are licensed dealers who offer as a service legal transfers of firearms shipped to them for a fee.  Here in Yuma, Az Five Shot Firearms has treated me well for guns that could not ship direct on my 03 collector's license.  Many such dealers are registered on Gun Broker and you can contact one to see if they can manage a transfer for you before you bid on a firearm.   Most list their fee on Gunbroker, but its always best to contact the one you plan to use ahead of time, and let them know all of your information.  Be aware that if you can not pass a background check and have all local legal requirements covered they will not release a firearm to you.

WARNINGS: 
Some sellers will absolutely refuse to communicate with you and basically call you rookie or a newbie for even asking.  Read everything on a listing before bidding.  EVERYTHING One recent seller I dealt with will not even provide you a total.  You have to read the details of their listing and figure it out for yourself. 

Atleast one seller I have dealt with added conditions of sale after the sale.  The conditions were not required by law, and they absolutely were not listed in their listing.  They just did it arbitrarily.  Had I reviewed their feedback I might have found that they exhibit sporadic instances of this type of behavior (and a couple other things).

If you have a problem Gunbroker WILL NOT HELP YOU.  They claim to be a listing service like the classifieds in the newspaper classified, but they do force (as noted above) you to expose a high level of personal information directly to them.  Their claim to just be an online version of a newspaper classified is also not totally true.  They actually do not charge a listing fee, but they charge a percentage of the final sale value more like eBay.  Do not let that mislead you.  They will not help you with an issue like eBay does. 

Sellers attitudes are from very helpful and considerate to downright disdainful towards their customers.  Look for their negative feedbacks if they have any, and see how they respond to them.  Sometimes it can be hard to fathom so it can be useful to fully read a few of their listings, their negative feedback, AND how they respond to the negative feedback all as one thing.   See Example below. 

QuoteSeller's Listing:  We do not accept returns!  End of discussion!  Period!  If you have shipping damage its on you to take it up with the carrier. 

My Note:  Most shippers only respond to claims from the entity sending the shipment.  To them that is the customer.  Not the person receiving it, so take the above is a yellow warning flag if not an outright red flag. 

Negative Feedback:  Item arrived broken, does not appear to be any damage to packaging. 

My Note:  If this is true it was shipped broken.  I do not know that, but I've experienced sellers shipping things they knew were broken without disclosing it.

Seller Response:  Tried to do a UPS claim.  Buyer wanted refund, but did not return item. 

My Note:  That whole conglomeration of things adds up to a big red flag buying from that seller.  I'm not saying that they routinely ship broken stuff or even that the buyer in my example had something shipped broke.  Just that if there is a problem you may not get the service you would expect from a "professional seller" on other platforms. 

My Summary:
I have dealt with mostly professional sellers on Gunbroker who actually acted professionally.  I have not sold anything on Gunbroker, but as a licensed collector I might at some time in the future in order to buy something better for my collection.  I have also dealt with a couple issues as noted above including Gunbroker basically telling me to quit bothering them and handle it myself.  I also recently made a purchase (before I read everything) from the seller listed in my example above as somebody, had I really read everything, I would have cautioned myself to avoid.  I hope my collectible rifle doesn't arrive broken "in shipping" with no damage to the box.