Amazon has a pretty good return policy from my experience, but it also includes third party sellers. Newegg Market Place includes third party sellers, but AFAIK Newegg on its own is a first party seller.
However, chances of a bad experience with either is usually rare due to the vetting they do and number of orders they have handled would have made them better.
Buy your HDD wherever it is cheaper, just check the review outside and make sure it is not too cheap to be true.