Say there is a seller that has no-feedback, very little feedback, or has some shady feedback. You don't feel comfortable shipping first (or paying first) and the guy refuses to send his gun first. Then what you two can agree on is to use a third-party service. A third-party service is someone/some company who is reputable enough that both parties arn't scared that they will be scamed.
APerson and BPerson are two traders. 3rdParty is the third-party service (in this thread, DagNasty).
APerson sends gun to DagNasty.
BPerson sends gun to DagNasty.
DagNasty quickly checks over both guns to see that both parties (APerson and BPerson) have met their side of the deal.
If/When DagNasty decides that both parties have fulfilled the requirements, DagNasty will send AGun to BPerson and BGun to APerson.