Most domain registrars will show their own parking page full of ads by default when registering a new domain name. Could there by chance have been eBay ads on the Godaddy parking page for your domain?

If the page didn't resolve at all, it could just be eBay going down the list of domains that end in "bay" and sending out scary letters from people who don't have last names.

I always recommend putting up a one page website with something like "Coming Soon" rather than running the risk of stirring up a company because of the registrar's parking page.