Yes, there are a number of "snipe" programs out there to use. Auctionsniper.com is another one, and there are several others.

I've often wondered why eBay hasn't bought one of these programs, or written their own. If you're interested in an item, have a "delayed bid" option that is priced equal or less than the 3rd-party snipe programs. They bought PayPal when they saw its utility in connection with completing an auction. A plus for both buyers and sellers (setting aside the issues regarding PayPal fees.)

But eBay must not want to p*ss off competing bidders by offering a proprietary snipe program, opting instead to let 3rd-parties take the heat.

Personally, I'm neutral on snipe programs. They help when an auction closes at an inconvenient time, and there are tactical reasons for using as well. But I share Joel's frustration about being out-bid in the last seconds. Oh, well ...