There are a number of different things that you can do, all with varying amounts of success and aggravation.
1) You can give a negative rating to the seller on eBay. This is of little direct benefit, but could cause the seller to 'come clean', or at least help alert others to the seller.
2) You could file a complaint with the USPS for mail fraud (assuming that the US mail was used at some point in the transaction). This will also have little success, but if this seller is 'active' in this scam, it would be mounting evidence against him/her.
3) You could consider pursuing small claims in your location. Some courts will accept the jurisdiction of the local claim since delivery would have been to you in your location. This has a strong chance of a default judgment, but little actual chance of 'out-of-state' recovery.
4) You could contact the local seller's local police department and file a misdemeanor (depending on amount) theft complaint. Be sure to talk with a supervisor in the department. Explain your situation. Tell him that you are willing to file an affidavit of facts with your claim. (In my opinion, this has the best chance of success... if you can get the local PD to accept your claim... more likely in a small community than a large city). Personally, I have done this one with success... especially when you notify the seller with the Detective's name and phone number to show that you are serious.
All in all, not high hopes of successful retrieval of your money.... I suggest:
a) Use credit cards for payment whenever possible, either direct or via PayPal(http://www.paypal.com)
b) Always check the sellers rating.
c) Always get a working phone number and address for the seller (call him to confirm his/her phone).
d) Before sending payment, check his/her address via one of the online engines (http://www.infospace.com or
http://www.555-1212.com).
Hope that you get your money back.....