A seller wants me to arrange my return through their own website.

I've never come across this before and wondered if there are any potential pitfalls?

 

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If you post the item back to the seller without opening the appropriate eBay case then you risk losing everything, and at the very least you will lose your Buyer Protection.  Open the appropriate case in the eBay Resolution Centre, and if the seller becomes awkward, obstructive, rude or just refuses to reply to any of your correspondence then escalate the case to eBay on the ninth day and they will refund your money in full.

 

In the event that you've run out of time to open an eBay case then open the appropriate case against the seller via PayPal.  PayPal give buyers one hundred and eighty days to open a case, so if you have run out of time to open an eBay case then you still have PayPal as a back-up option.  PayPal are pretty good with regards to helping buyers out, so you ought to be able to get your money back.  The only difference is that if you are required to send the item back to the seller PayPal, unlike eBay, will not supply you with a pre-paid postage label at the seller's expense, and you will have to pay for the return postage yourself.