eBay doesn't run traditional auctions, what goes on there is more akin to the silent auctions often seen at charity events with junk strewn about on tables with little bidding cards. A traditional auction never closes while people are still willing to bid on the item. The problem with a silent auction where the bids are made public during the bidding process is that an unfair advantage is bestowed upon the individual who waits around until the very last minute of the auction to place a bid. This last minute bidder is bidding with a snipe.
   eBay denies it, but there is convincing evidence that bidding at the last minute can get significantly better deals. If eBay wanted to level the playing field they would extend auctions 5 minutes past the last bid. This would at least give someone who logs in to check the auction as it is closing time to enter in a counter bid to the sniper. eBay however believes that you should enter in the maximum you are willing to spend so it can automatically raise your bid to outbid other bidders, and that if someone snipes an auction you thought you were going to win then it's tough cookies that you were not willing to show your cards. The problem with this is that it is not human nature to know or to even be able to come up with the true value of something until we can see the value other people place on it.
   Enter the snipe: One of the best free snipe tools is JBidWatcher. If you look around you will see a lot of people selling over hyped sniping programs, but don't be fooled. Many of them aren't as full featured, or are just blatant rip offs of JBidWatcher. There are caveats to running snipe applications, and I"ll just list a few of them.

1. You really should have a broadband account, and have your computer running all the time so the sniper program can sit and wait for the last second of the auction.
2. If you have a lot of failed log in attempts then you might get a captcha (a graphic passkey you have to enter), and if you do get a captcha then JBidWatcher won't work. According to the author he won't even try to make it circumvent the captcha because it would be technically difficult, easy to foil, and used by bad guys to try and steal accounts.
3. Your going to lose a lot of auctions, because the item isn't worth as much to you as someone else. Face it, some things on eBay go for a ridiculous amount of money, and it's annoying, but it is better to lose an auction with a snipe program than to get caught up in the emotion of a bidding war and pay too much for something.
4. It's a shady ethical area. You are acting in a way that gives you an unfair advantage over other people that think they are going to win, but your bid gets the item in the last second of the auction, and they have no way to counter the speed of a program.
5. You should have a modern computer. JBidWatcher doesn't take a lot of horsepower, but if your machine is dragging with spyware, or is just a rusty heap of circuits there could cause problems.
6. You have to trust the author of the snipe program, because you must enter your user name and password for eBay into the snipe application so it can place bids for you. That is one reason I like JBidWatcher as it's open source and anyone who knows java could bust the author if he put spy code in the application.
7. It is going to take a little learning, but once you learn the application you will find it is a great tool to keep track of auctions especially if you bid on numerous items at once.

Here is a good overview of JBidWatcher.