After losing auctions at the last second, you learn your options real fast! Essentially, know your game before approaching the tables with the big dough... The player has a distinct advantage in the eBay game, as the end of the auction is known. Failure to take this into consideration can cost you the item or a lot of money. Ebay seems to lure the unaware in by making you think that, "I'll never see this again", and so, "I'VE GOT TO HAVE IT!!!".
First, determine is it REALLY an "I'll never see this again", or should you be in bargain hunting mode(if you will see it again, you shouldn't waste money by paying too much, right?).
Then, determine if it is easy (or relatively painless) to be available for the end of the auction. If so, place your bid with 20 seconds left (if you are on 56k modem), or 10 seconds left (if you are on cable or DSL). Some would say that even this is risky, as eBay may be down and you will be out of luck(they would say get a bid in early; yet this helps run the price up... However, I enjoy the rush of the last second hunt almost as much as winning at the tables, so bidding early isn't used for my "must have" items.
If you can't be there for the end of the auction, you have two options, the first being to place the highest bid you are comfortable with (place this as late as possible) and cross your fingers. The second option is to use www.esnipe.com, which I haven't tried yet, but I assume it automates the last second bidding for you so you don't have to be there. This is something I will try the next time I can't be there at the end of an auction.
Examples: I really wanted a vintage boxing bell. There was an unusually large and old example that screamed, "you'll never see me again!". So, even though bells rarely go for over $100, I placed a proxy bid of $170 (since I had to be at work during the end of auction, and didn't know about www.esnipe.com). When I got home that night, I found that a bell collector had bid 3 times, at $100, $130, and $165, and then gave up; leaving me the barely happy winner at $167. At first, I suspected a shill; yet the guy was a bonafide bell maniac, every one of his 10 purchases was a very unique bell...
After a while, you learn from such mistakes! Just the other day, I had the MOTHER OF ALL SNIPES! There was a magnificent old leather medicine ball, you know, boxers throw these things around to get buff for Katie(I haven't met her yet, but she is legend on my card)! Anyway, the price was at $81 dollars, and when I looked at bid history, the top guy hadn't placed the most recent bid (in other words, he had a higher proxy in action). Another thing I noticed, was that his email had a medicine ball reference in it. I tracked it down with some searching, and discovered that this guy was the owner of a modern medicine ball company! It was obvious that my only chance was to lurk in the wings and snipe him BIGTIME! I didn't know what his proxy max was, but I figured that it was a good bet that the item was worth what a medicine ball manufacturer thought... So I let the horses run free! I bid $250 with 15 seconds left (this was my initial bid). The eBay network was slow, and I agonized for what seemed an eternity, would I miss the cutoff (and receive the dreaded, "CANNOT PROCEED", or would I be stuck paying my max??? When the dust had cleared, I was the top bidder at $104.01, with 1 SECOND LEFT!!! IT DOESN'T GET ANY BETTER THAN THIS, I thought! It was more of a rush than a $500 win at the tables, so now I'm cooling it, as I've discovered that this can become a BIG problem... Now I'm limiting when I can use the "search" button, as there are other priorities in my life. Just like I limit my visits to Vegas (my budget would NEVER survive me living there), I now limit my trips to eBayLand. As with Vegas, eBay is for serious players... GOOD LUCK!!! SNIPE AWAY!!!