I've gotten some great deals off of them, but they are very dangerous indeed.
If your just starting out, I'd recommend sitting back and watching for a week or two, it'll give you an idea of what comes and goes and for what price. Some stuff sells for stupid high prices like the Opus. Other things are bargains almost daily.
Tips, Watch the Quickies for bargains that most people miss. If you can fund the box purchase they will usualy get you a better unit price over a fiver or single.
Be careful about bidding on multiple of items. If you bid on five of something and someone else puts in a bid that forces one of your cigars out, it will bump up the price on all five of your cigars to keep you in.
Many items because of their bid policy will have a fair price fall in between two possible bids, so they are a bargin in singles. La Aurora 2006 Robusto's are a fair price of about $6, but the singles are $1 with 2$ bid increments, so they cost either $5 or 7$. Both 5 packs and boxes often go for between $5 and $6 because the bid increments support it, but singles often go for $5 even.
I bid almost every week, and try to get the first bid in for single cigars at the bargain price, if I lose, I lose, but most of the time I win.
Other thing is watch bids about to close, sometimes you just see an item going for cheap! You may be able to jump in for a few dollars more and get it, I won a box of La Aurora Platinum tubes (24) for $181 bucks that way($7.54 each).
Good Luck and if you see MH from Plantation bidding on a box, talk to me about a split before you beat me.