The auction house is a good source to use if you need a rare item that cannot be found anywhere else. Be warned though, the auction house is not the cheapest place to shop, but is good for exchanging gold for diamonds. Overall, you can use the high prices to your advantage. Undercut everyone else and still sell for a big profit.
Buy or sell goods in game to other players.
Talk to an NPC to open the auction house interface.
Auction House NPCs are listed below:
Howling Mountains O'shel - 46.2, 40.5