I've been a happier man with more free time (and more money in my bank account) since I stopped bothering with eBay.
But when I was still using eBay, I followed the simple rule outlined by Scenaria: decide the maximum you're willing to pay, and place your bid as late as possible. If you lose, well... the other guy paid too much, that's all.
I would aim to place my bid during the last minute or two of the auction, and pray that I would not fall victim to a sudden server slowdown. And when you find yourself getting upset over losing an auction, it's time to take a break from eBay :wink:
The advice against early bidding is good advice, since early bidding does indeed drive prices up.
The reason I was able to give up eBay pretty easily is because I would add stuff to my "watch list" and then forget to log on again before the auctions ended. I was missing so many auctions that eventually it didn't seem to make any sense to log on at all.