I'm sure Auctionchex works, but there's more overhead costs using them then the way shardian explained. Also the conversion rates are too high.
As I understand from Shilmover, there is no cost for the US guys to send the check to Bob. So the only overhead cost is at the receiver's side of the PayPal transaction which is about 3,5%.
Also, with PayPal you can choose to do the rate conversion (euro->dollar in my case) by PayPal or by your Credit Card. I always choose CC, because they have better rates.
I actually think that it is amazing that with 2007's technology, it is still not possible to do a (cheap) transfer from a European bank account to a US bank account or the other way around.
This is one of the positive things that the EC has accomplished: it is possible to do international bank transfers between any EC country without any costs for the payer or receiver. This is only true for amounts under €50000 but hey, I don't transfer more than that very often....It is also amazing how few people are aware of this...
Bottom line, it would be great if Bob simpy accepted PayPal...if he'd had to charge a little for that, there's no problem at all with me....but I don't think that I will change his mind

That site with horror stories about PayPal: I've used PayPal for dozens of times now, and never had 1 problem. It's by far the cheapest and easiest way to get money to people in the US that cannot take CC's. I love PayPal, whatever they say about it. They made it possible for me to buy stuff that would else be out of reach because of high transfer cost, and/or incredible hassle (IMO)