I would look for:
1. a large, soft eye (speaks to trainability)
2. decent feet (you can tell alot if you know what you are looking at - stay away from slipper feet, stress rings, broken and flaky hooves or tenderness that can indicate navicular)
3. good legs and even hindquarters - lots of horses are there because they can't be worked anymore ... check for bowed tendons, ringbone, swollen knees, and look at the top of the hip and back/butt from behind. A horse with lameness issues often has one side higher/larger than the other as the unused side atrophies (I got bit by this personally).
4. Try to talk to the owner beforehand. With the prices of hay, some horses may be there simply because the owner can't afford them anymore... those horse owners often try to 'market' the horse during the presale... if a horse looks promising, see if they will let you handle him
5. Watch their movements in the ring carefully - as they travel see if they favor a side, wing in our paddle out, toe in or out, etc... tight circles are hard on lame horses...
Finally, definately buyer beware. I have had some amazing finds at horse auctions, and I have bought money pits with major issues. Have a cold heart, as mentioned above, because buying a bad one puts you in a terrible place - you have to decide if you are going to nurse the lame one, rehab the dangerous one, put them down or run them back through the sale - so do your best to get a good one, and if you are not sure, just walk away.
There is no passion to be found playing small - in settling for a life that is less than the one you are capable of living. - Nelson Mandela