Buying your miniatures on eBay is a good way to get bargains, out of production models and books, and things that you would never be able to find locally. There are many things to bear in mind when using eBay and this article is made up of the distilled experience and wisdom of Dakka's users.
There are three reasons to shop for minis on eBay: looking for a deal, looking for rare and oop stuff, and fetching a fully painted army and/or units. These things often overlap, but it's important to keep in mind why you're shopping on eBay, for example when buying out of production Metal Eldar Jetbikes, you won't ever find a cheap deal on eBay. Since they're annoyingly rare, however, it's one of the few places you'll ever find them for sale.
This is why most people shop on eBay - to get some of those dirt cheap internet sales all the kids are talking about. At any given point there are literally thousands of GW auctions, providing plenty of choice. The good news is that there are some great deals to be had. The bad news is that none of those deals involve new-in-box (NiB) product.
eBay has an undeserved rep for hosting tons of dirt cheap auctions on brand new GW merchandise. Five years ago, this was more true, but with the elimination of Outrider discounts, the cracking down on discounting by US stores and webstores, and GW making it tougher to open a retail account, new GW product tends to hover between 15-25% off of retail, once shipping is factored in!. "I can order anything off of TheWarStore for 20% and free shipping!" I hear you say. My response is to simply shrug my shoulders. I did a half hearted search on eBay for complete auctions for Tactical squads, and the NiB squads sold for between US$29-$34, after shipping.
The point is that eBay is not a really good place to grab NiB stuff. Bigger auctions, with multiple boxes and/or army deals, can be better deals, but in general the new stuff is simply too expensive. There are some great deals to be had on eBay, but they involve large lots of used minis. With paint stripping and some patience, all metal models and many plastic models can live again, despite the hideous paint job of the previous owner. I've had Falcons with literally three layers of paint clean up nice and neat. Keep in mind that many plastic multi part models can be poorly assembled, which is far more difficult to fix then a bad paint job.
Make sure you pay careful attention to the shipping prices. A large number of sellers will have high shipping prices in an attempt to recoup their costs from eBay, and you must take this extra cost into account when planning your bids.
When buying used lots, research for a long time before you buy. Nearly everything comes up pretty often, and a little patience can save you a lot of money. Add up, in your mind, what you would pay for each item in a lot. Don't be afraid to value models at little to nothing if you don't want them. If you can resell any models from the lot, either to friends or back on eBay, include the projected sale price. Once you price out a lot, place your bid and walk away. There are many schools of thought on bid sniping, but my approach is simple. I make an offer, based on what I'd pay for the lot. If somebody is willing to go 50 cents higher, then I have to assume they'd go 5 dollars higher, and I let them walk with it.
As I alluded to above, a great way to build a big collection and bitz bin is to buy lots. Don't be afraid to drop $50-$300 on giant boxes of stuff. Salvage some, keep the best, and re-sell the rest. Between eBay and Bartertown, I bought giant lots and sold the excess and I ended up with more money and 4000pts of eldar. It's a fair amount of work, but If you enjoy wheelling and dealing, it's a lot of fun. (To be fair, I fell into one of the greatest GW opportunites of my life. A guy on B-town wanted to liquidate, and was travelling near where I live. I was able to get a drop off, save on shipping, and buy a huge lot of 2nd ed stuff for a few hundred bucks. The lesson: be on the lookout for good business opportunities.)
Search for common mis-spellings such as warhamer or space marrines. Though most typos are caught out, a few slip through and those auctions get considerably less interest as nobody can find them.
Bring up the GW category on eBay, and view everything ending in the next day. Sometimes there are some great bargains to be found.
Dakka has a wiki article dedicated to listing the most useful searches for GW products: eBay warhammer searches. Use it to help you find wargaming products and add any search terms you think are appropriate.
Know what you are looking for
It is common sense to shop on eBay with GW's online store open in another window. I find it helps to make certain which edition that "Space Marine Codex" is when the seller doesn't specify, or see if random models are really what they are. Even honest people make mistakes when they don't know a game, and since a lot of the best deals seem to be of the "I am closing my game store" or "My bastard husband left me for a 13 year old" types, it often helps to see exactly what you are getting, and what the retail price would be.
Buying Rare and Out of Production Products
Ebay isn't just the biggest game in town for this stuff, it's pretty much the only game. Whether it's OOP harlequins or NiB Gamesday minis, eBay has it. There's not much to talk about with regards to it. If you're a collector, you know what you want, and you know what you're willing to spend. Have fun, and try to keep the spending reasonable.
Important Note: Dupers exist, and they sell on eBay. For OOP stuff that's relatively common (praetorians, 2nd edition troops, etc.) most of the stuff is probably legit. The rarer a model, however, the more likely it's not a bona fide. There's a funny story about how there have been more Sgt. Centurius models sold on eBay then were ever produced. I don't know if it's true, but it's certainly possible. If you really want a model and dont' care if it's original, then bid away. If you want to make sure it's real, only bid on stuff that comes with original packaging. Be on the lookout for hints of re-cast minis, see Recognizing counterfeit miniatures.
Buying Painted Minis
The hobby is full of folks who don't like to paint, and ebay is full of painted armies. If you want to play right away, it's a good place to get painted models for less than retail on new models. Shop around, ask for plenty of pictures, and buy the insurance when you ship it. It might not be exactly what you want, but it'll be a lot cheaper than hiring a service.
eBay is a good place to find big lots of good used stuff, but it's not the only place. Bartertown has a rep for people putting ridiculous price tags on marginal product, but there are some deals to be had. Local message boards are a good place to find out who is selling their army, and Dakka has a swap shop right here.