The post above pretty much nails it.
Shill bidding is hard to prove, but is I think suspected more often than it probably occurs as most sellers are pretty honest.
Some bidders get upset when the good deal they thought they could get evaporates. But as Italiansport points out, you need to determine how much you are willing to bid, then stop there. If you do that you won't get hurt and you won't pay what you feel is too much. If every one did that shill bidding would be less common as the seller would never move the gun.
I also prefer face to face sales to on line sales when possible as it helps keep the local gun shops in business, and in some cases it keeps some shops on the lookout for firearms they know I might be interested in.
However, the advantage of on-line auctions to both buyers and sellers is that it provides place for sellers to list uncommon firearms that can then be found by buyers looking for those uncommon firearms who are willing to pay fair market value.
That's another point of contention with some buyers as in the pre-GB, GA days it was common to get some great deals on those same uncommon firearms that might not have had much local appeal. They's sit on the shelf a long time and eventually the ship owner would sell it well below market value just to be able to turn it back into money. That seldom happens any more as sellers are abel to find buyers willing to pay full market value.
Now...it's also redefined what "full market value" happens to be. If you get just 2 or 3 sellers who both want a not so common firearm bad enough, it comes down to who is willing to pay the most for it - and by definition that's a fair market sale.
That's also however where some of the accusations of "shill bidding" come into play as the other buyers will see 2 or 3 bidders driving the price up well above what those other bidders feel represents the fair market value and/or beyond what they would personally pay. But that doesn't mean it's a case of shill bidding. Demonstrating that will require a pattern of the same bidders driving up prices for the same seller, and the same seller coming back with the same firearm.
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Generally speaking, I avoid sellers who:
1) Only accept a money order. Postal money offers zero buyer protection and takes 6 weeks before the post office will even begin to investigate in the event your firearm never arrives. Then, unless you sent it certified or registered mail with a signature required and return receipt, all the post office will do is verify that the money order was cashed. A credit card protects the buyer to a much greater extent as the payment can be contested if the item is not delivered within 60 days or if the item is clearly not as described.
2) only allow a 3 to 5 day inspection period after it is delivered to the FFL, as opposed to when the customer takes delivery. The difference is that many FFLs don't log their firearms in on the same day they arrive, or only have certain staff who log them in and out.
For example, owner of one of the local gun shops here is the only person who logs firearms in, and he only does it on Saturday afternoon, and he's closed Sunday and Monday. So if a firearm arrives on Friday, it will get logged in on Saturday afternoon and IF the owner calls you same day, you've only got a couple hours to get in and pick it up, or you're waiting until Tuesday - the 5th day after delivery. If instead it arrived on Tuesday, you'll be forced to wait a full week to pick it up. So, you need to have agreement with the seller on when the inspection period starts and you need to be sure you are aware of how the receiving FFL handles incoming firearms.
3) don't post the serial number of the firearm. Some sellers won't provide the full serial number or ion some cases provide no serial number at all. The argument is that if someone sees the number they can claim it was stolen. That's not really the case unless stye can present a police report with that serial number that predates the sale, picture, etc, and generally requires they be able to establish ownership as well.
From the buyer perspective, I like to know if the same firearm keeps getting resold by the seller (an indication of shill bidding), and if the seller is worried that it might be stolen, I sure don't want to buy it.