The first caution is one that you should be aware of regardless of what auction you attend, on-line or live: Know the actual price of the item that you want. Because you are at an auction, you may think that you are going to get a good deal on what you buy. But you can get caught up in the "game" aspect of the situation and your desire to "win" may cause you to bid more than an item is really worth.
Ignorance can too, since many items at eBay can be purchased at retail. How much "should" a Z scale boxcar, for example, be worth - $10, $15, $20? You should check out some of the on-line suppliers and find out.
For instance, The boxcar above was being offered at a Buy It Now price (no bid required) for $19. I bought one new for $17.80 from an on-line store. The caboose was offered Buy It Now for $17.12. I bought one for $17.20. The engine had a bid of $75 made (and I saw another one with a Buy It Now price of $90. I bought one for $71.89. Why not buy your trains for the same or less money from an on-line dealer?
Check the two screen saves at the right to compare the Current Bid for a Faller Deck Arch Bridge on eBay with the retail price at Reynauld's! (Reynauld's price was slightly less than that shown when I bought the two that I have on my Winter Layout. Enough said!
I thought that I'd like an air field on a layout that I might make someday. So I ended up paying $8.25 for a Z scale (according to the seller) C-47 "Gooney Bird" which I discovered later could be purchased on-line for $2.80.
For another example that'll knock your socks off, click here.
Know the retail price for what you want to buy!
Another caution comes from the "game" aspect of eBay and the difference in bidding on eBay compared with a live auction.