I would've suggested selling as a lot, too... I've tried both ways, listing basically
everything separately (which is a huge pain), selling as one large lot, and selling as several medium lots.
I've done best with medium lots... basically dividing auctions up into chunks that make sense, are desirable, and do not compete with each other. I sold a wood elf army in about 7 lots that way (with a few characters separate, so perhaps 10 lots total). However, each lot retailed for at least $150 or so.
Any smaller, and I feel like you start to compete with yourself when selling multiple units... that's what I would see the current auctions linked to above doing, unfortunately :-/
I've learned the hard way, especially about this:
TheLastEmperor wrote:Also Ebay is a land of extremes. If you have something desirable or rare you will get top dollar but if you have 50 bolter marines you might only get $5 for them.
All too true... sold hundreds of old static-posed high elf spearman for a pittance. Should've just kept the bastids, darn it

. Still upset about it... on the other hand, my last auctions did pretty well, so I can't complain!
It seems to me that ebay is pretty advantageous to buy from, as you get near immediate results. I tend to look in the swap shop or on bartertown first, then head there... and similar for selling. If you have more time, you can look around for a sale/trade, but ebay will give you great turn around time.
The only other thing to remember is that if you're a new seller, they take a while to clear your payments via paypal. So although you *technically* have the money, you can't touch it for a month or so. I believe this goes away after you have 100 feedback or thereabouts...