I would rather not go through W.U.. I only go through Paypal because I know that if i get the wrong item, it's damaged, or they don't send it I'm covered. It also has to do with the amount and the item.
I noticed a lot of counterfeit sellers on Ebay only take WU. Seems like that would be the best choice of a crook, because Paypal offers buyer protection. I personally will ONLY use paypal. Escrow, like keepall boy said, is another choice. I heard they are good for expensive purchases. Haven't used them though.
The problem with those of us non-US residents is that many eBay sellers, including the "trusted" ones such as most MPRS', personal shoppers, etc. only take Paypal from a confirmed address. I think apart from US and maybe Canada or some UK??, the rest of the world don't have confirmed addresses and can't get confirmed status. I'm in Australia and this has frustrated me no end coz I ring Paypal, email them from time to time (we even have our own PP - PP Australia) and they keep saying they can't confirm our addresses due to privacy laws here in Aus and around the world which are different to those in the US.
So, if we wanna buy something from one of these sellers, we have no choice but to pay via wire-transfers.