(MONEY Magazine) – Somebody please stop me. It's nearly midnight on a Monday evening, and I'm sitting in front of my computer, hoping to pay many times the actual value of a normally inexpensive, everyday item. No, I'm not bidding on Mark McGwire's 70th home-run ball. But I'm at the same site--eBay--where sports fans bid on the famed ball, and the idea is the same. I'm trying to snag a book that I could buy in any store for about $35. This one, however, happens to be leather-bound and signed by its author, Stephen King. At this moment, four days into the seven-day auction, the price is fast approaching $100.

Chances are you've heard of eBay (www.ebay.com), the online auction house specializing in collectibles that's one of the hottest sites on the Internet. Created in 1995 as a way to sell Pez dispensers, eBay has ballooned into a multi-billion-dollar phenomenon. At any one time, over a million items are being sold by thousands of people who each pay eBay a nominal insertion fee and a small commission on every sale. In December, eBay was the second most visited Web shopping site (after Amazon.com), according to Media Metrix, a Website tracking company. Although eBay dominates the field, Web heavyweights Yahoo! and Excite and even the old-school auction house Sotheby's are throwing their hats into the lucrative online-auction ring.

After spending a few weeks bidding on all sorts of stuff--from rare books to a 1913 Harper's magazine to collectible glassware--I understand eBay's appeal. Basically, the site is a giant search engine of the world's biggest virtual flea market. In the same way that you might type a word into Yahoo! to find a Web page, you can type "stereoscope" into eBay at your computer in Manhattan and find one of these 3-D photo viewers for sale in Moscow, Ohio (pop. 279). Once you've taken five minutes to establish a user name and password, you're free to bid. It's easy--perhaps too easy--to while away the hours looking for a favorite childhood book, an antique map or whatever you can imagine, and then find one for sale to the highest bidder.

While collectibles are what's driving eBay's success, you can also find electronics, computers and other household products--the kind of stuff also featured at such online-auction sites as Onsale.com and uBid.com. Those two Websites specialize in computers and electronics (both new and refurbished), which they sell directly to consumers. Yet neither has achieved eBay's singular success, and I can see why: They can't match eBay for ease of use, size and elegant construction. That said, I shopped for a Palm III personal organizer at eBay but in the end didn't bid. While I could have saved a few bucks, I decided I was uncomfortable buying a $250-plus piece of electronics from an individual, not a store.

Whatever you're buying, eBay's person-to-person marketplace presents risks. In my search for an autographed Stephen King book, I spotted one that looked particularly appealing: a signed leather-bound copy of The Dead Zone. But I was nervous about the authenticity of the signature, and so I checked the seller's feedback profile--eBay's system for buyers and sellers to rate each transaction as positive, negative or neutral. The profile listed 54 positives and no negatives. Reassured and eager to get started, I made my first bid: $95. (Four days into the auction, nine bidders had pushed the price from the initial bid of $29 up to $86.) Excited about bidding in my first auction, I sat back and waited.

One danger at eBay, as with any auction, is that you might overpay. Having checked with bookstores, I already knew the book I was bidding on would be relatively expensive. Yet in the world of collectibles, value can be an amorphous concept. Most of the items you're bidding on aren't new and don't carry a Kelley Blue Book value. One great price check is eBay's archive of completed auctions, where you can see what similar items have sold for in the past month. I looked for other signed King books and found they were going for $50 to $400.

A potentially more costly risk is fraud. In January, eBay announced new safeguards, including up to $200 in free insurance (with a $25 deductible) for items that are undelivered, inauthentic or don't match seller claims. Even so, just weeks later New York City's Department of Consumer Affairs said it was investigating eBay for allegedly providing a forum for selling fraudulent autographed sports memorabilia. In response, eBay--which states in its user agreement that it takes no responsibility for seller claims--said it would cooperate with any investigation.

Based on my experiences, and those of other buyers and sellers I talked to, the feedback system seems reliable. And the first three items I bought arrived in great shape, eight, 11 and 12 days, respectively, after I sent off the money orders. (Some sellers accept checks, but using a money order often speeds up delivery.)

For noncollectibles, try comparing prices at other Websites, if not a real brick-and-mortar store. I came across a Makita power drill that sold for $134 on eBay, when the same drill was available for $96 a few clicks away at Shopping.com and for $99 at Home Depot.

It's especially handy to know the relative value of an item in advance because heated bidding wars can drive up the price quickly in the final minutes of the auction--as I discovered when a buyer, or "sniper" in eBay parlance, swooped in with only two minutes to go and outbid me by $1 on a $31 stereoscope. (Remember, if you lose the bid, chances are a similar item will go on sale soon. In my case, another stereoscope was already up for bid. This time I outbid seven others to nab it for $36, plus $5 in shipping).

I also learned that the last-minute swoop, while devious, is often effective. As a weeklong auction for a set of Pez dispensers came to a close with the bidding at $3, I entered a bid with less than five minutes to go and stole all four for $4.25, plus $2.35 for shipping. Glory was mine, until I received an e-mail informing me that I had been outbid on The Dead Zone by a person whose user name, chriscujo, was a play on King's classic Cujo. Not a good sign. He raised the bid to $96, and I countered with an aggressive bid of $120, figuring that would tame him. But soon a newcomer outbid us both. His handle: deadzone. Not good.

I decided to employ a different strategy: Wait it out. The next day, I arrived to find chriscujo and deadzone locked in a battle so bloody it made Pet Sematary look as genteel as Pride and Prejudice. The high bid rose to $178.25, $220 and then $295, too rich for my blood.

With less than 30 seconds to go, a sniper named catman swooped in with a winning $300 bid. I was crushed but soon comforted by book dealer Roy Robbins of Bad Moon Books in Anaheim, Calif., who specializes in signed King books. He told me that any price over $200 for that book was "ridiculous." Still disappointed, I did the only thing that could make me feel better: I swooped in and bought another signed King book, Bag of Bones, for a mere $150.