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If you are talking about bidding on your own items, and you win, you lose out on the fee, so you only hurt yourself.
This is not true. You only lose your deposit if your item doesn't sell at all - if your item sells, you are refunded the Deposit fee.
Try this sometime: Put an auction on a common item that you can afford to lose a few silver on. Put the Buyout as a round number
below what the going rate is - lower enough that it'll get bought quickly.
For example, I sell bags on one of my characters. If I put an auction up for a Woolen Bag for 8 silver, with a Buyout at 12 silver, it'll charge me around 40 copper - and I'll get 12 silver and 40 copper back when someone uses Buyout.
Yes, bid shilling (that's what it's called) is possible in the WoW Auction House. But you don't have to play along... there's always a next time. I rarely rebid more than twice on anything, even rare recipes.