All sale barns are different. At my local sale, Shipshewana, you can walk in among and handle all the saddle horses to your hearts content. I always feel them over very carefully, check teeth, pick up and inspect all four feet, check heart and breathing rate. You can generally get a good idea of there personality by how they submit to this. Remember most horses will be nervous/distracted at a sale, being in a strange place with strange horses and so much going on. Some people will have them saddled and let you try them, but not very often. The "loose pen" or "kill pen" horses, you ARE allowed to go in with and check out, at my sale barn, but you do so at your own risk. Since most the horses are packed fairly tightly into the loose pens, I generally don't unless there is one I REALLY have to get a closer look at.
If this is your first horse, or particularly your first draft, I would be very careful getting one from a sale. Drafts often have problems at sales, as ShutUpJoe mentioned. Auctions are always a huge risk, and you have to weigh your options. You could get one dirt cheap - but you may have to spend hundreds on vet bills and still wind up with a horse that is not riding sound. As suggested, take someone who knows a lot about horses and is experienced with auctions, with you!