Well, that really depends on the import laws for the country you are sending things to. Every one will have different restrictions. The things you have to be aware of are export permits for any shipment large enough to be considered commercial. Also, of course, any species listed on CITES are internationally restricted (all Brachys, a couple Aphonopelma etc.) so you have to have captive-bred paperwork for those on Appendix II. Any WC specimens that are restricted in their country of origin but not internationally, you would still have to prove to be legally collected from the original location. While the above sounds like alot, it does leave a very large number of species that aren't restricted and a shipment has to be pretty substantial to be considered commercial. So the question comes down to knowing where you are sending to alot of the time. (And sometimes different states or provinces will have different laws as well, so do your research!)
Where I am, spiders, scorpions and centipedes aren't restricted at all and it is quite easy to receive a shipment from the states. Millipedes, exotic mantids and roaches are illegal nation-wide, though.
So if you have ideas of sending things internationally, it is probably best to pick one or two locations and thoroughly look into them to start with. You can expand later as you learn more.
I think KnightinGale covers this well. Keep in mind you may have to explore export and import licences as well as timescales within the postal systems. Here in the UK, if I send a parcel to Northern Ireland it arrives the next day but sending to Southern Ireland which isnt part of the United Kingdom takes about 5 days. the Island of Ireland is only 100 miles away at most!
When I looked at sending parcels to the US a couple of years ago the economics of it killed it off rather quickly.