This is where you usually want to go for rare items. Rares will only spawn here, not in the stores. It's the most efficient and cheapest way to buy and sell merchandise between players. For most items, the auction listing fee is substantially less than the transfer fee would be, and bidders pay no transfer fees on the bid.
The auction system is also 'scam-proof': The winning bid is held by the system until a higher bid is placed or the auction is ends. When you're outbid, your bid is returned to you instantly. The player selling an item retains the item until the auction ends (except for ammo) but cannot transfer the item to another user. Items and bids are automatically transfered to the appropriate character once the auction ends.
Also, items that get enough votes in the Black Market spawn here.
This is a historical version of the Auctions page, by Cube at Aug 19 2008. To make this version the live one, click here.