I just sold a domain using Escrow.com.
MY FIRST SALE WENT LIKE THIS.
1. I opened an account at Escrow
2. I entered the Name, Address, Phone number, and e-mail of buyer.
3. I also entered the selling price and who would be paying the escrow cost.
4. Escrow contacted the buyer-he excepted the offer and sent Escrow the money.
5.Escrow contacted me and I pushed the domain to the buyer's account.
6. Escrow contacted the buyer that the domain was had been pushed to his account.
7. The buyer released the money in the escrow account and three days later I received my check. The amount of sale was $700. The fee at Escrow was $25.
This was my first sale, I had no idea how to go about it, but everything worked great. Someone with more experience could probably give you better advise as to whether or not you should go this route. Some say go with Sedo escrow.