eBay
The mother of all auction sites, eBay is still a solid place to find deals on electronics, media and collectibles. As long as you don't get caught up in the frenzy of the bidding and end up overpaying for some cherished item, eBay can be an excellent place to find a deal.

Tip #1: when you are interested in bidding on an item, do an Advanced Search first and check "Show Completed Items Only". This will give you a pretty good idea of what similar items have sold for on the web site. Also search other auction sites for the same item, or check fixed fee venues like Amazon Marketplace to see if you can find the product there for less.

Tip #2: when you have a choice of several of the same item to bid on, take a look at the seller's ratings, return policy and shipping costs. These can vary widely among sellers, so be sure to select a seller who has a solid track record and fair shipping and return policies.

Tip #3: often sellers will let you combine shipping on multiple items, so if you are looking to purchase multiple things, try to bid on those items from the same seller if they have them.

Tip #4: on key auction items, set a reminder on your Outlook calendar to log in and monitor the last 10-15 minutes of the auction. Often, you can swoop in with a bid at the very last minute to steal the item from your competitors.

Tip #5: the beauty of online auctions is that you can not only use it to find great deals, you can also clear out your attic/garage/basement by listing and selling your stuff online. See How to sell your junk on eBay

Amazon
Between Amazon's Auctions, ZShops and Marketplace, there are plenty of opportunties to find a deal on Amazon if you know where to look. An added nicety about Amazon is that some of their venues have set fees for shipping (for example, Marketplace), so you are not at the seller's whim re: what they want to charge for shipping.

Yahoo
Yahoo offers lower listing fees, which can give sellers the advantage when listing items through Yahoo. Also, since it's not as trafficked as eBay, sometimes you can find a gem with limited competitors bidding against you on the item.

uBid
Primarily for computers and electronics and accessories, uBid can be an excellent place to find a deal. Tip: be sure to check whether an item is New or Reconditioned/Refurbished, as this could mean that the product is of an inferior quality.