Being able to see an play the actual machine you're buying is a great plus. I bought one of eBay and it did have some missing/broken plastics and a burned out solenoid/damaged board that weren't easily spotted in the pics or disclosed. But compared to some ebay rip off stories, I didn't do too bad!
If you're going in to look at some machines, do some research first. Go to http://ipdb.org/
and look at the pics closely and download the manual if it's there. Read up on how to do the machine reports and tests which let you view any errors, make sure all the solenoids work, test the lights, etc. You can probably see how many games have been played too. I'd also get inside and inspect the boards for any visible damage like scorch marks if possible.
The rec.games.pinball USENET group is also very good. People there can offer more advice, especially on what to look for on particular games (things that break easily, features to test, areas that wear fast, etc.). There should be a FAQ with some other good stuff in it too.
When you get the machine home, do not turn it on until you've verified all the fuses are the proper values and not jumpered. My machine actually had one fuse jumpered, which is what resulted in the burned out solenoid and damaged circuit board.
I went to one auction myself (run by Super Auctions - http://www.superauctions.com
), and it was interesting but no real deals to be had on the modern solid state machines. There are stories of how the sellers bid on their own machines to boost prices, and you have to remember to add in the buyer's premium when bidding - with that and sales tax, it's easy to blow a budget, so determine what you're will to bid beforehand.
And if you really want to test machines at an auction, do come prepared with your own extension cord. At least when I went, the auction premises didn't have sufficient outlets and powerstrips to allow all games to be turned on. And bring some quarters for games whose sellers are too lame to set the machine on free play.