To be honest, I would ONLY feel comfortable buying this online... I don't like people giving me looks and I feel a little embarrassed asking for it behind the counter - as many have mentioned it often isn't in the front display because of the under 18 limit and the price.
Even so, I wouldn't buy it from ebay... no way. I would however buy it from another online source if it was reputable. I had heard about alli and then my friend emailed me a link to Alli Review where I read up on it and I'm thinking about purchasing it - they link up to drugstore.com which is owned... or at least affiliated... with RiteAid. So basically you're getting it from the pharmacy without any embarrassment.