I rarely pay for auctions with a money order anymore -- I will only do it if the seller has really positive, really HIGH feedback. It's just too easy for people to take the money and run. Unfortunately, sometimes I have to pass on a very attractive auction because the seller only takes money orders (and doesn't have much feedback). I know that most of the sellers who don't accept PayPal mainly do so because they feel that PayPal's fees are too high, but I think that there are a select few out there who prefer money orders because there is no recourse for the buyer.

Sorry you had a bad experience. That did happen to me one time -- years ago I won a little set of Disney beanies for like $2. I sent a money order and never received anything (including a response from the seller). My guess was that she was unhappy with the ending price and decided it wasn't worth it to follow through. Fortunately it was for such a small amount, but it still made me mad!