Good question.
I always use paypal, but then again, it doesnt cost me anything to buy the parts as it is the seller that has to pay. This is mostly for security reasons, and there is a bit of recourse (so I am told) if the parts dont turn up but so far I havent had to prove that theory.
Buying parts out of the States from lil' old New Zealand can sometimes be a bit risky as you may not always get what you pay for.
Most vendors are happy to accept paypal, but if there is a better and cheaper way I would gladly do it.
For large sums of money I will do a Bank Telegraphic Transfer, but the extra bank fees Stateside are about $25 to $50usd, ($35 to $70nz dollars) depending on the bank, and it also cost $20nzd from the bank in New Zealand.