Mike makes some good points about the craziness in the auction market lately....
Part of this, I think, is that more and more people are buying coins at auction than previously, and they get caught up in the bidding frenzy without proper regard to how much they're actually paying for the coin. I figure they must be forgetting that the bid isn't the "full price" they're paying; there's also the 15% (or more) "bidder's premium" paid to the auction house on every purchase, plus postage/handling (which many coin dealers waive with a purchase over a certain amount or with repeat clients, but which auction houses usually don't).
I've had a lot of bids fail as Mike described, so I know how he feels, with the same sense of incredulity.
This said, remember that the market is also cyclical. Types of coins in demand today may not be in such demand in a couple of years. And with a finite supply of any particular date/mint mark, each issue's supply isn't always in proportion to demand.
I've been collecting coins since I was a kid (since about 1968). I try to always have a new interest in the back of my mind if my currect interest becomes too costly (too popular?).This is a great hobby because there's always something else to learn about and expand into collecting!