Though we admittedly haven't been freelancing that long, we have never run into this sort of a problem :( After setting up profiles on freelancer, freelance, elance and odesk, I have to say that I favor elance greatly. They don't freak out when you put a link to your portfolio, they facilitate smooth communication, they secure up front payments for non-hourly work (we work on a project per project basis) and they paid out easily to our bank account.
I however will also say we are somewhat selective in what we bid for. We only bid on projects that are clearly and professionally written. If the person listing the job can't bother to use punctuation, or makes more than a couple typos, it's hard to take them seriously. We also don't bid on jobs that are very vague, or jobs that seem shifty.
Best of luck with your freelancing... defiantly check out elance.com we've had a lot of luck there!