I'm not too worried about falling for one of these, although that's not to say it won't ever happen. These guys (I'm stereotyping, but most of scammers are guys) are getting smarter and better at what they do. Eventually I may get nailed by one. My real concern is the people that aren't fairly tech savvy and get scared when they read stuff like this. Obviously it's working on somebody or these emails wouldn't be sent.
One thing I did is to setup a separate email address for my Paypal account -
paypal@example.com. That way I know that if I get anything that looks like it comes from Paypal but doesn't come through that account then it has to be fake.