There aren't too many things that a seller likes more then a fast paying buyer. Making a quick payment to the seller gets them motivated to get your item shipped faster and it almost always guarantees a positive comment in your feedback. Sellers prefer to have the transaction completed as soon as possible so they can move onto the next sale, having inventory pile up on them while waiting for payment doesn't make their life any easier. As soon as the auction is over contact the seller to make payment arrangements, ask for the final invoice, then agree on a payment method. If you can't wait to get your hands on the item and if the seller allows Paypal then that's the fastest way to pay, it's basically instant so it's the same as dropping the cash into the sellers hand.

Here's a quick check list for finalizing a sale.
1) Request the final price from the seller (invoice)
2) Decide on your payment method
3) Send payment sooner rather then later
4) If you are paying via check or money order make sure you include your name and auction number with the payment. If a seller has to track down who you are and which auction you won it will take longer for them to ship the item. It's best to print out the eBay's end-of-auction notice, and then write your name, address, and the auction number on it.
5) Contact the seller so they know that you have already made a payment or that payment is on it's way.
6) Once you have received the item check it over, make sure you are happy with it.
7) Remember to leave feed back once the transaction is complete. It's a good way to round out every online auction transaction.