I personally haven't heard anything (good or bad) about them, I've read lots of good reviews on apmex though www.apmex.com
I agree apmex is probably the safer bet. There are some (please note the following are unsubstantiated, internet heresay) reviews and sites that claim monex did what morgan stanley got caught doing by not making investments or making the right investments for their clients. Others say they do not offer physical gold only gold ETF's trading on the stock exchange, some say they are fraudulent and supposedly they have a F grade with the BBB more due to the fact that they never responded to 10 complaints and had like 13 open/unresolved complaints against them. However many will agree most of the complaints filed were because people just wanted a get rich quick solution and didn't understand gold, the market or their investments. Moral of story know what you are doing, do the research and error on the side of caution when in doubt.