I've bought about a third of my locos off e-Bay. But now that I have all the in-production/post-production locos I want*, I concentrate on unique, usually custom, items.
For example, I recently bought a custom Rock Island GP40-2 shell in blue for an Athearn drive, and then a custom painted Iowa Interstate GP38 (Atlas Master series). Number 604, of course!
* of course, this does not include any new announced locos that are NOT out yet - I have P2K's new GP38-2 and the Atlas' new U30C both on pre-order, in Rock Island colors, of course! But I usually get these directly from internet dealers - even if some of those dealers, like Modeltrainstuff, are also on e-Bay. The internet discounts are usually good enough not to hassle with bidding. Besides, I want it as soon as it comes out!