If you pay through paypal, and don't get the item, and the payment was by credit card, you may be able to get the credit card to reverse the charges. I would only buy with a tracking number, that way you have solid proof if something was ever put in the mail to you.
I have had mixed experiances with Ebay, but being in Canada it is a bit more risky with customs and all when I buy from the states. I once ordered books that took 2 months to get here, no fault at all of the seller. I ordered a toy for my son, it never arrived, but I felt very strongly that the seller did send it, never had tracking to confirm it, but I ate it instead of complaining, because I just had a strong feeling he was not dishonest. (1000+ sales, no negative feedback, offered to pay me back if I did not get it). After that, I only buy if it can be tracked in the post.
I just bought 25 jumbo pinecones from Alabama. They got here in about 3 1/2 weeks, I was not that happy with them, they where old and beaten up, but that is the sort of stuff that is subjective, I'll just have to ask more questions next time.
I have seen a few warnings about buying jewelery though, usually it is garbage or just not what it appears to be.