I live in an urban area and I don't have a car so it's not practical to go to the pet shop every week to pick up new live insects when I don't need anything else from there. There are plenty of suppliers online for live insects - the pet shop itself has its own website, as well as assorted vendors on Amazon and other places. When choosing where to buy them from, what factors should I consider? Or should I just try a few sellers out and judge the quality of the insects that they send?
Reviews help a lot, so when you're looking, make sure you can read what other people are saying they received. If there aren't any reviews, it's just a shot in the dark. A lot of places will only take orders on Mondays through Wednesdays, so that the crickets won't be sitting in a box over the weekend.
Something to keep in mind though, is that crickets have a pretty short lifespan as adults, and they're extremely susceptible to temperature drops, mishandling, and other factors. So No matter what, you'll have some dead crickets in your order from a combination of crickets that were old and going to die during the shipping process, and some that couldn't handle the stress of bouncing around, if there wasn't enough food packed with them, they'll start to eat each other, etc.
The temperature shouldn't be too big of a factor unless it gets cold where you are right now. Basically you want to avoid ordering crickets in the winter, and if you do, don't let them sit outside.
If you have the space it's really easy to breed your own crickets. Especially if you start by ordering several hundred online, you'll have a good start towards a colony where you'd only want to get some new crickets every few months or so, just to keep from inbreeding them too much.
As far as other insects go, I don't have too much experience with them, but generally speaking they should all be hardier than crickets. Mealworms and superworms are generally kept refrigerated anyways, so unless it's extremely cold outside, they should be fine with a little temperature drop. Since they are larvae, if you're shipped some that are at the end of their larval stage, it's possible you might get a couple that have turned into beetles. Which is something that you might want to check if you're buying them in a store anyways.
Dubia roaches are cockroaches so they'll survive the apocalypse I'd think. I'd be worried about the caterpillar type feeder insects like hornworms. I haven't had any experience with them, but I imagine them to be fairly sensitive to temperatures.