Ever heard of the Western Union scam?
Yes, it usually goes something like this:
Scammer emails an online business asking if he can over-pay you with a check. The check looks just like any other business check and is often printed with the name of a real bank. The scammer then asks you to send him back the balance via Western Union. He walks down to the local Western Union office, picks up his moneygram and goes on his merry way.
Western Union is a relatively safe and convenient way to transport money to or from international destinations, hence the 419 scammers like to use it as a way to receive funds.