Artful roughly outlines a three-tier approach, and that's what I use.
ebay for lower-priced material (and even there I tend to deal on a repeat basis with a handful of sellers who have proven to sell genuine, fault-free material), dealers for mid to high (for me, topping at $1500 or so), and auctions for exotic or rare material at multiples of thousands of dollars, and only with recent cert or a clear refund policy that permits a reasonable time to get a cert.
Because of the time required to inspect lots and appear at an auction, then sometimes wait for delivery of the items while not having the use of my funds, yes, I limit auction buys to more exotic or rare material. It's far easier, generally, to work with a dealer.