This is a bit long, but I hope you find it worthwhile.
I have 100 transactions on ebay and a 100% feedback rating as both a buyer and seller. I probably about half as many transactions with people I've met through ebay and except for 1 or 2 items, which I was made whole on, everything I bought was better quality than retail. And the service is exceptional, when compared to retailers. Ebayers and guys like Jon at Q Optics understand the value of word of mouth and good feedback.
I do a lot of research if I'm buying a big ticket item. Checking feedback is good, but also check what the seller has bought or sold. The same goes for Gunbroker. If he/she just bought the scope or gun, why are they selling it?? Sometimes their buying and selling history doesn't match their "story". I wish ebay would keep a better history of these transactions so I can tell if someone deals mostly in toy kazoos or if they sell the big ticket items.
Someone mentioned checking forums like these and that's a great idea, also check vise versa. I was on archeryworld.com and a user was selling Matthews bows. The story was that her husband was ill and closing the store. These were just a few of the bows left. I asked a few questions and became suspicious, then I asked for some pictures. Once I had the pictures, I did a search on ebay and found identical pictures of these items. The goof ball copied and pasted pictures from ebay and was passing them off as items he/she had for sale. I asked for a picture of another item "she" was selling and bingo a different ebay picture was sent to me. Ebay is a great research tool in many ways.
I had the seller's "address" and "she" was asking for a Western Union transfer (big red flag here). Also, "she" resides in Florida (credit card fraud capital of the world!). Next, it was off to switchboard.com to check out her name and see if I can find an address. Not everyone is on there and you won't find my name, but almost all businesses can be found there. She wasn't and that was the icing on the cake.
I don't want to make anyone paranoid. Just do some quick homework and you should be ok. I've ordered stuff on ebay without any homework and other items I've researched, but I've never been burned on there.