I use paypal and think it's definitely worth having, for a lot of internet purchasers it is the only way to pay. I've never had anyone offering to send me a cheque although I did have one purchaser who said she didn't like paypal, she lived locally and came to my house bearing cash (which was lovely!

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Cheques are fine in theory but the buyer has to go through the process of contacting you, waiting for you to reply with your details, then post it to you and wait for it to clear before you even send out the work, it's a much slower process all round. I know in theory if people are investing in a piece of art they shouldn't be put off by all that but given that this is the internet and everyone is so into instant results, I would worry about a buyer just deciding not to bother if there is no online payment option.
For you, it saves any worry about dodgy cheques and is an easy deterrent for suspected scam merchants offering to send you bankers drafts. I know there are people who have had bad experiences of Paypal (both as buyer and seller) but I've personally never had any problems and would think it's definitely a plus on a selling website.
Elise