It's alright. I have done this many times both as a buyer and a seller. When I am selling, I always contact potential buyers asking them if they want to do it off eBay. Never a problem. I'm only worried that eBay will discover this and I will have trouble. Any experience?
What everyone else said. I've asked for this as a buyer and I offer it regularly as a seller (a $10 discount for off-eBay purchases). Since PP started offering protection for SNAD claims, there is no longer a difference between the two, and your buyer is wise to offer this option. Congrats on the sale!
You should still have paypal protection. As long as you cover all your basis, just as you would on eBay, you should be fine. Document the item you're selling. Make sure you get full tracking/ sig conf etc.. Ship to the address that paypal approves.