Yes, shoes are very tricky! I am normally a European size 37, but have been wearing anything from 36.5 to 39...
I've a pair of shoes from Payless Shoesource, they're a 6 1/2, and inside the shoe there's a tiny little sizing chart, that says that they're supposed to be a European 38 - according to the internet sizing site, 6 1/2 and 37 should be the same.
I've never bought shoes without trying them on.
Karin