I think most reefers has mentioned and rightly pointed out the various possibilities. I used to have problem buying livestocks/corals from one LFS. It does not matter which place the fish/corals came from, it just die. However, recently we bought some from the same LFS and everything is doing well. So, I think sometimes it's matter of luck.
All the possible reasons such as shipping, collection problems are valid. Try to QT them if you can or do FW dip like what Lemon suggest. Also, just because some fishes from other LFS is fine does not necessary mean your system is fine. They may be stronger in terms of immune system or have yet to show any syptoms. (touchwood! )
Anyway good luck and one last thing, you may want to avoid adding too many fishes at one time as well.. as it will likely cause even more stress.