I had so much fun at my auction. Some of these ideas really got me on the right track! I will add a little more.
1. I was successful doing something like what wveres suggested. I hardly ever called off the players that I really wanted on my team. Instead, I called out players that I knew would attract a large draft bid. This way I usually had about as much money as anyone, and I gave myself a better shot at getting the players that I really wanted.
2. It is really important to keep rosters for all of the other teams in your league as the auction goes on (to the best of your abilitly). Not only can you double check that people are not cheating or "making mistakes", but you will have a really good idea if someone is bluffing on a bid or truely interested.
3. You would think this would be common sense, but for some reason people keep breaking it. Like a few other people have said already, set up a limit for how much you are willing to spend on a player and do not exceed it! There were three owners in my league who ended up spending more than 1/5th of their money on a single player. No one is valuable enough to require 1/5th of your budget! The teams that did this have gaping holes elsewhere, and they are now taking seriously looks at trading their big shot in order to fill these gaps.
I will stop there for now. Auctions are so much fun! Talk your buddies into doing one. It will be worth it.
Mike Pelfrey > Matt Garza