As a seller just starting out, PayPal offers about the best combination of convenience, cost, and security of any electronic payment option you're going to find, especially on eBay, in my opinion. Having your own accounts with the major credit card companies might be marginally more secure, but qualifying can be difficult and paying for the accounts can represent a significant investment upfront, and unless you have a reasonably high transaction volume, the costs are just as high or even higher in some cases than PayPal.
On eBay especially, PayPal is integrated so well that it makes handling the financial end of things very easy to use and manage as a seller. Invoices, reminders, payment notification, and all of the other aspects of managing your account are very easy and straightforward. The biggest problems I've seen with PayPal are typically the same problems you'd have with any other setup - chargebacks, returns, and other claims.
My best advice for things to do to protect yourself:
1. Decide in advance and write a simple, clearly understandable notice regarding:
A. Payment: What you will and won't accept, time limits, etc.
B. Shipping: Acceptable addresses, methods, insurance, receipts, geographic limits.
C. Warranty/Guarantee: As is, limits, etc.
D. Return Policy: Do you accept returns, time limits, conditions, restock fees, etc.
E. Claims: Who and how to contact, etc.
Post a notice in every eBay ad you place.
2. Keep your shipping costs as low as possible, but don't short yourself or your customer. Packaging supplies cost money, but don't skimp on packaging because it will increase satisfaction and cut down on claims.
3. Whenever possible, calculate shipping costs ahead of time and show them in the ad, and explain the method and geographic limits they are based on (e.g. US Priority Insured Mail in the 48 states). It will cut down on inquiries and make payment easier. There are buyers out there who will jump the gun and pay only the sale price through paypal if you don't post shipping. It can be a hassle to sort out later.
4. Don't forget the PayPal fees and don't let your PayPal balance drop too low or go negative. It sounds simple, but you'd be amazed at how many people forget this. The same thing applies to your eBay fees.
5. Invoice and ship as soon as you possibly can. Generally speaking, the faster the transaction goes, the less problems you'll have. And always answer emails with a copy to yourself and leave feedback for your customers. You might be surprised at how often that makes a difference in resolving disputes.
That's the best advice I have coming from being a longterm eBay seller myself and having helped several friends setup their own eBay stores. Good luck!
