I can't answer for Shipwreck on his selling price, but I've done many private-party sales in AZ.
1. Meet someplace public that's easy to find, but of course be discreet. I've met at a McDonald's parking lot, in front of a gun shop, in a Home Depot parking lot, etc. Once I even met a guy on my front lawn, but he was a guy who posted an awful lot on a particular forum, and I trusted him based on his very strong reputation for honest deals.
2. Bring a buddy. I usually bring my wife as back up, which may sound funny, but she carries and is quite skilled.
3. Use whatever payment is agreed upon. Normally this is a trade and/or cash.
4. Ensure the buyer is an AZ resident if selling a handgun. Some guys ask for a CCW, but I don't, just proof of residence.
5. Have your carry pistol on you and ready. While nothing has ever happened to me, obviously being around a complete stranger with a pile of cash and/or guns is more dangerous than normal.
6. Use common sense - if something seems fishy, it probably is.
With all those warnings in mind, every person I've met in a private sale has been a absolutely great guy, and I think this speaks well of the gun-owning community.