First of all, remember, foreclosure is a process that doesn't happen overnight, so most any property that you look at be it a short sale, auction or REO will have some history on the market. Lenders have an obligation to shareholders etc. to try to limit their loss which may be while agents are showing you properties with a market history.
Further, I answered a question very similar to you request several days ago, along with a number of other agents. In general, the advice that was given was that pre-foreclosure properties (short sales) where not always the deal the might appear to be at first glance, the price has not been truly established at the point it is a short sale, as the lender is interested in minimizing their loss and in a short sale, you are negotiating with both the lender and the home owner-This process can take weeks-more likely-monthly to finalize and can frequently end in multiple offers and a bidding war.
REO's or bank/lender owned properties have already gone thru the auction process and didn't sell. The ownership has now defaulted back to the bank/lender. These are a bit easier to deal with in terms of a timeline and a price, although they too can receive multiple offers that are bid up. Frequently, these properties do not have ulitities turned on for you to complete adequate inspection, unless you are willing to cover the cost of re-establishing service.
Auction properties are literally those that are auctioned off on the country court house steps. Unless you have been able to see and inspect the property before it hits auction, you are taking a great risk on what you are buying. If you are a position where this type of risk would not be finacially devasting if the house had major defects or you have a construction team to go in and quickly bring the property up to standard, this a be a good place for you to concentrate.
As for finding deals that are pennies on the dollar, I refer you back to the 1st answer. The Tucson market has taken a hit, but houses are not going for half their recent worth, nor do the market gurus expect that outcome.
I am sure that you have looked at Realty Trac-You can also find properties moving down the path to foreclosure on varieous lender and bank site-Try Well Fargo, Countrywide etc. Or I will be happy to show you properties that make good investment sense-they may be at any stage of the forclosure cycle, or they may just be priced right for the market.