Don't know about their Ballroom shoe selection, but I second Zappos for great service and easy returns. They have free shipping (and super-fast) and of course free returns, so often I'll order six or seven similar pairs of shoes, pick whichever I like best of the lot, and return the rest. AND you can return for up to a year or something crazy like that.
Shoes at Zappos.com - The Web's Most Popular Shoe Store! Our shoe store features dress shoes, casual shoes, and athletic shoes for men and women!