I think it depends a lot on WHAT you are selling. I sell mostly vintage collectible and antiques on eBay. I ship worldwide. The international bidders and buyers really drive my items.
How long does it take? That depends obviously on where you are shipping the item and what happens in Customs. Some items fly through Customs; others can get hung up there for days or weeks. I always warn buyers about the danger of an item getting caught up in a Customs office and I supply the buyer with the US Customs form tracking number so they can follow the item at least through the Customs process.
Expensive? Sure it costs to ship international items but the buyer pays the postage; I certainly do not offer free shipping to foreign buyers. Most seem more than willing to pay.
Dangerous? I have had a couple of little hassels in the past with foreign buyers but I have also had a couple with domestic buyers. I find people are about the same no matter where they reside. But I must restate it likely depends on WHAT you are selling as much as anything else. Certain catagories of items seem to attract more trouble than other items.
So, yeah, the Customs form is another step in the selling process. But after you do it a few times it gets easier. There can be language issues when you try to communicate through emails and such. But the money is worth it. I offer worldwide shipping on most everything I sell on eBay.
Picture is of MY GIRL being good for a change!