You might also want to contact Paypal. Although Paypal doesn't promise to recover any money for you, they will ask the vendor for proof of shipment of the goods. If none is forthcoming they may at least take action to cancel the vendor's Paypal services if the vendor fails to come to an accommodation with the complainant.

Just one note: Whenever I buy anything on eBay, I request the package be insured. Asking for insurance, even though it costs a bit more, usually makes the vendor choose a traceable method of shipment.