Our neighbours bought their BMW from eBay and had no problems with the process. I would consider it, but it would be my last resort. I think I'd sooner go through a broker who would find the car and get it for me, then do the whole ebay thing myself.
Auction, only if I were looking for a particular vehicle. I think the only thing I would buy at auction would be a) something I knew was coming to auction, or b) an ex-government vehicle, if I was for some reason interested in one of those.
I'd by from my boss, but be very wary of buying from a curbsider. But with proper footwork, and a mechanical and title check, no reason why not.