Beaky, I had the same thing happen to me; relisting is your best option, but file a complaint with eBay against that bidder's ID. If he is truly interested he will reply to the eBay complaint, if not you can relist safely.
I have taken to requiring immediate PayPal payment for bigger items. For smaller items I will accept a USPS money order or a certified bank check. I called my credit union on one money order; they did an immediate inquiry and found it was good.
I also state that I will not accept zero or negative feedback bidders, but that doesn't stop some of them and eBay doesn't give you power to automatically block those kinds of bidders. Recently, though, I've sold successfully to two zero bidders. Remember that we were all zeros at one time. But as a low feedback bidder, I always initiated contact with the seller.
Did you put a time limit on your payment? If not, you may have to wait 7 days to relist. Check the eBay guidlines.