I just received my i5 760 (may want to consider it, it's only a few bucks more) from them. It arrived perfectly fine. I would say you run no more risk having something shipped from newegg then you would from any other retailer
The CPUs are packaged very well directly from the factory (AMD/Intel). The chances of damaging the CPU are very low, esp. with Intel CPUs (due to LGA). You should not have any problems with using Newegg for buying CPUs.
HOWEVER, if you have a Microcenter close by, you can get the i7 870 for $230 (In store only).
Unless an axe murderer goes after your box, I can't imagine how the processor could be damaged. Processors are packaged very well and aren't really susceptible to damage by shock or natural temperatures.