I usually try to buy my GPU open box. I bought 2x 4850's on newegg before and both worked perfectly fine, but one of them was missing the crossfire bridge.
The only real risk you take when buying Open Box is that you might not get the extra things. Like with a mobo for example you might not get the i/o panel, the CD's, IDE, or any of that stuff.
But from my experiences, your less likely to get DOA parts from Open Box cause they double check them before they send them back out