Nothing like this has ever happened to me, but I am pretty careful to limit my larger $ purchases to retailers I'm familiar with [or those recommended by friends].
I'm currently out $40 with an online jeweler [an indie who was listed at StyleBakery] because they seem to have gone under between my sending them payment and their shipping the item. Paypal can't pull the $40 back into my account because their account is empty, and may not be able to recover it. Lesson learned. This is also the first time that a bad transaction may not be recoverable. In the past, usually the retailer has made it right eventually or Paypal has come to the rescue in a few rare cases.
[eta: by the way -- I originally ordered something different from them in spring, and THAT never arrived. But back then, the seller responded and refunded the money. So I thought they were cool people and this was just a glitch. Interestingly, both orders made use of a 40% off coupon that they'd e-mailed me. Is that why they never fulfilled the order?]
In addition to reading this amazing story, note the valuable information in the first comment, from some smart guy named Eddy:
"I have a tip: before ever buying anything I always go to google and type "company name+scam".
By doing that, Eddy found tons of complaints about the retailer Mr Hawk dealt with. Thanks for the tip, Eddy!
And from Jenn in the comments, we learn about this link:
Cool. My guess is that you need a US address to file a complaint, though.