This is annectdotal but I twice tried branching out recently to other retailers, both times they said they delivered my package and they did not. Trying to get help from them is like pulling teeth.
I rarely have a problem with Amazon and the few times I did I was given a refund pretty much immediately.
It makes it hard to switch when the difference in service is so drastic =/
It's not that dangerous, I only get stabbed once, maybe twice, when I get groceries, and usually they don't even nick an organ.