That really sucks Lisa, Jeez what a pig that guy is. Like you say though, if it's your only bad transaction in ten years, that is really good going. I know a few ppl that it's happened to a lot. All you can do is leave him terrible feedback, of course then he'll repay you with the same unless you can get him to leave it first - which he should considering. I didn't know that as sellers we had to make sure the seller recieved their item to the door either.
Honestly though, if I were you I would just continue as I was and not let one bad egg spoil it for you. It seems that (hopefully) ppl are more trustworthy than we think. Maybe you could look into making a proper complaint with Paypal - who are so much more helpful than Ebay - or maybe you could call them direct and explain the entire situation. Then forward all the e-mails you recieved from this guy straight away, which paypal should know seem odd and ask them to look into his history, I bet he has a long history of saying he hasn't recieved things. Also, sometimes it's worth getting that bit of bad feedback to warn other people that this guy is a theif and a liar. It just seems very unfair that everything is placed on the seller, especially with Ebay's fees going up. Awful situation