It could be that the seller had a personal emergency, got sick, death in family, that sort of thing. That once happened to me but the seller did send me an email before he went offline. Yeah it sucked, but at least I knew why. It worked out in the end but it did suck. Just the risk of dealing with individuals.
There are a couple of things I do to help prevent this.
1. When possible, pay with a Postal Money Order. They are good about telling you the status and you can get a quick refund if it gets lost unlike most money orders.
2. Always mail payment and require a signature. If you get screwed, the seller now has a Federal beef - mail fraud, a major felony. You can report it to the Postal Inspectors, FBI, ATF, etc. It will be really painful for the seller.
3. Make sure you understand before bidding how the seller is going to ship. Make sure they follow the law (many don't, even FFL's) and it is properly insured and signed for. Make sure they agree to provide you tracking information. UPS has THE best tracking system. Make sure you get agreement for that to be supplied. If they are shipping thru and FFL, call them and ask the status.
4. Ask a lot of questions. Get a lot of clear pictures. If anything raises the hair on the back of your neck, immediately run away and don't bid. Be very cautious if the seller has a few auctions feedback. Be cautious if the seller takes too long to answer questions.
5. Get the seller's phone number too. Try to get a real land line phone number if you can. You can then verify if the number matches the street address if it is listed. Talk to them. If they seem like a scum bag, don't bid. When mailing payment, tell them you won't accept a PO box because you are going to FEDEX it and they need to deliver to a real street address. Verify the address thru Google. Make sure it is not a Mail Boxes, etc or similiar 'front'. But like I said above, mail payment - don't send payment thru Fedex or UPS.