Why? Because you can get burned badly. Within the past 2 months, investors who are pros have been burned becasue of a new game with home equities line of credits. I don't have time to go into it, but it's not for everyone.
If you are looking for a deal, and who isn't, try buying an REO. That's a property that has been taken into inventory by the bank after it was either not sold at the court house or as a short sale.
Buying an REO is much safer, you get to see what your are buying, and your have protection.
If you are not a pro, I discourage auctions. But if you like the fun of it, just go view some homes, and go to the auction and watch how people bid. I saw someone overbid on a totally run-down property that I had viewed but he probably didn't, and the one picture shown on the screen looked really good.