Actually, the question of sniping has drawn the interest of game theorists. At first they were surprised to learn that the most disciplined bidders were sniping, but ultimately concluded why:
If everyone's bidding was rational, they would only need to enter their maximum bid once, and at any time during the life of the auction. Then, the person who had rationally bid the highest price would deservedly win. However:
Experienced bidders have learned that there are always a few people who get caught up in the excitement, and without exercising good judgment keep upping their bid as the auction comes down to the wire (I'll admit I've done it once or twice, and I'll bet you have too.) Sometimes the result is that the frenzied bidder still loses, but ups the cost for the guy who would have won anyway. So:
If you snipe, you may still lose to another equally rational bidder whose price is higher, but you won't have the frenzied bidder upping your cost. Sniping actually returns rationality to the process, and awards the auction to the person who most realistically knew their own maximum bid.
I always snipe things I really want, but I'm also content to win about 1 in 10 auctions, knowing that there may be others out there prepared to pay more.
cheers,
Scot Osterweil
Brookline, MA.