An auction is an exciting day out, and you might find something special to take home. It's quite a specialist method of sale though, so it's good to know the ins and outs in advance.

Get a feel for the system. Try going to a few auctions just to watch the show and get the hang of things.
Pre-register and get a bidding number. Most auctions today require that anyone intending to bid be pre-registered with the auctioneer and assigned a bidding number. If you do not register and receive a bidder number you will not be allowed to bid. The registration is on-site and insures a little anonymity for bidders, allowing a bit of privacy while being recognized as a bidder by the auctioneer. This bidding number is usually written on a card that the bidder can hold into the air, signifying to the auctioneer of the intent to bid. The auctioneer will announce the number of the winning bidder along with the winning amount.

If you are only interested in a particular item at a "roaming" auction, it might be worth your time to closely inspect that item before the auctioneer steps over to it in order to open bidding.

Make sure you understand all the payment instructions and requirements BEFORE registering for an auction... writing a personal or "travelers" check or using a credit card is NOT the "same as cash".
Do NOT sort through baskets of items attempting to create your "special" lot of goodies... the auctioneer who knows his business will know what has happened and may become irritated, or even skip over that lot until his assistants have re-sorted things back the way they were intended to be sold.
Don't get carried away with the bidding. It is easy to get so wrapped up in the spirit of things that you may find yourself wondering how or why you bought that pile of used doggie bones.

If the auction is outdoors, take along an umbrella no matter what the weather predictions may be.
A small pocket note-pad and a pen... you might meet a new friend, or want to take note of current selling prices of items. Both can be handy at future auctions.
Bring along a bottle of water, you will need it.
If you are going after that "big thing", make sure you have the tools, help, and transportation needed to get that thing home. (You could strap a piano to the roof of your friend's car, but it better be a very good friend with a lot of muscle.)
The most important thing you'll need at an auction, whether you intend to bid or not, is an upbeat attitude. Keep a good sense of humor about you and don't be discouraged.