I've gotten some good horses, and some bad ones at auction. I mostly go there for goats, so I haven't bought many.
Out of the five we've gotten, two had to be euthanized (turned up with coggins), one was rehomed (too much work for us at the time), and we still have the other two.
If you get a horse there, quarantine it for at least three weeks, and make sure you don't let it in your herd until you get a clean coggins. Stay away from horses that don't seem alert, have "crazy" or "dull" eyes, are hanging their heads low for extended periods of time, etc. These are all signs of drugged horses.
Ideally, you'll want one that is active, but not freaked out. A slightly scared horse is understandable, as is a truly frightened one - but the latter ones will probably be harder to handle over all.
Get there at least two hours before the horse auction starts. At many auctions, the horses will be coming in then, so you can see how their owners handle them, how they act, etc. If a horse "disappears" for a long time, and then returns calmer than they were before, they were probably drugged.
If the horse's owners are still there (a lot of times, they are), find them and talk to them. Ask them why the horse is going up for sale, what training it has, etc. Some of these people are honest, others aren't, and they usually tell you more than the auctioneer. A good example of this, was when I went to an auction for goats; I saw a beautiful, young boer nanny come through, who would of been a great addition to my herd. However her owner was there, too, and got to talking to me. She had kidded twice, and both times her kids had been deformed; this year, she hadn't even taken.
When she went through the auction, she was sold not only as breedable, but as bred.
If you can't find the owners, talk to one of the regulars at the auction - who might be a kill buyer. A lot of the kill buyers I've met were actually not bad people; some of them would even sell animals they had already bought for the amount they paid, if they thought it was "salvagable". We were actually friends with a kill buyer, who would help us pick out the sick/lame ones, as well as drugged ones, and would tell us the stories of the horses who had been dropped off already. He saved a few that way, and prevented some "crazies" from being bought.
Stay away from horses with obvious lameness, and from horses who have green-ish discharge from the nose or lumps under their throat. The latter is a sign of strangles.
Remember, some of these horses have problems that can't be fixed, and others may have secret problems that'll cost you thousands. Don't buy a horse if you don't like it or if it is visibly ill/injured. Before you bid, give each horse its own "price", and don't go over it.
For your first auction horse, pick an adult horse with few problems (a hoof trim, an open gash or thinness should be the worst he has), that is already gelded (if male). This will help you avoid bills the first time around.