I sell a lot, and occasionally buy, on Ebay, and this does occasionally happen. As stated before, getting delivery confirmation was the one important thing you should have done.
Without it it is extremely difficult to prove whether he ever did receive your payment if it isn't cashed. If that is the case, every type of money order I have seen can be reported lost or stolen, and the funds returned to you. I have limited, and luckily all good, experience on Gunbroker, but a seller on Ebay with multiple reports of this type of situation with not honoring low price auctions will be shut down. I would report it if it gets that far. These auction sites depend on the integrity of their sellers and buyers to remain viable, and they have very little patience for anyone damaging their reputation or running off new customers. As far as the item being stolen or lost in transit to you, you should always make sure the seller insures the item for the full value. Once they have received your payment, they are required to get you the product or refund your money, despite all the claims of 'not responsible for items lost' disclaimers.
If the payment is received through the mail, and no product is provided in return, it is considered mail fraud. I had this happen to me once on Ebay, and a few weeks later the postal inspector from his town called me for a statement as they were indicting this person for mail fraud. They are serious about this.
I understand that this being your first try, with all these problems, you would be angry and disappointed, but I would not swear off any future similiar transactions because of it. These auction sites are a good tool, especially when looking for something unique and not commonly available. I have done hundreds of transactions, and 99.9% have been positive. Use delivery confirmation on the payment, and it will be much easier on you. I think you would be pleasantly surprised by how easy most transactions are, and how helpful most sellers are. Unfortunatley there are idiots in any type of business. Good luck.