I bid on some items that I can take or leave early on. Sometimes I win, sometimes not, but it's no big deal either way.
When I really, really want something though, I NEVER place a bid until the last 5 to 10 seconds before the auction ends. I'm guilty, I'm the sniper that everyone hates (except the seller of course). What I do is, I open two browsers to the bidding page. I enter my bid amount in the 1st browser (the highest I'm willing to go)...and let me tell you, you need to decide what that amount is well before the auction ends. Do not allow other bidders to influence what you are willing to pay. You can search completed auctions to find out what other items have ended at if it's something that's readily available. So, you've got 2 browser pages open. I then go ahead and enter my amount in the one screen. I click bid on item, which I think brings you up to a spot to enter password and such. I get all the way to the last page where it says confirm bid and then I go back to the 1st browser page and keep hitting refresh. Once I get to like 30 seconds left or so (I have cable, so it refreshes faster, but I did it for years on dial-up too) I bring up the page to submit my bid and then I just count down from 30. When I hit like 8 seconds left or so, I hit the submit bid. Keep in mind, you'll not get a 2nd chance to bid, so make sure it's the absolute most you'd have bid. If you bid say $20.00 and the next lowest bid was $12.00, you'll win the bid at $13.00, not $20.00. If someone else wins though, you'll know you weren't willing to spend that much.
IMO, this is the ONLY way to really win on eBay because so many users do it. On other auction sites that I've seen, if you place a bid, the clock automatically adjusts to extend the auction by half an hour or so (time is just a guess because I can't remember exactly how much time it's extended). This keeps bidders from sniping.