From the Paypal security webpage:
Report it. Forward the entire email - including the header information - or the site's URL to email@example.com
We investigate every spoof reported. Please note that the automatic response you get from us may not address you by name.
This really works & they are fast. Forward them a suspicious email and they'll tell you if it's a scam. Chances are high that it is.
Also, you can help protect yourself by NOT clicking on the email link, but opening a blank browser page and directly typing in the bank or paypal or ebay.com address.