1/ Unfortunately Paypal won't readily refund your money unless they can retrieve it from the seller. I would guess he immediately withdrew it from his Paypal account. I know they say they will, but in reality you're going to have a struggle to get it back (I speak from personal experience). And always fund your account from a credit card, and you'll get another layer of protection from fraud.
2/ Report it all to the police.
3/ I think you're going to have to give it back to the real owner. But do get some proof of ownership first, as this whole thing could be a scam.
4/ OK, hindsight is a great thing, and it's no help now, but why on earth did you put up your real phone number on ebay? My address details on ebay are deliberately misleading, and the phone number is a total fabrication. OK, he would have got your work address, for the delivery, but don't make it easy for them.
5/ Try to calm down a bit. I realise it's upsetting, but it's easy to threaten somebody by phone, a lot harder and riskier to actually do anything.