I've been a seller on eBay since 97 and find that the main thing is to have a unique product that is hot, and then have lots of it.
I personally have sold on Yahoo, and eBay but I prefer eBay only because of you know what.... buyers. In my opinion, find your niche on eBay and then duplicate your success into your website, and other auction sites. But don't spend tons of time on the other sites because time is money. And if you have a good thing going at eBay, stick with it.
eBay has made alot of changes over the years, alot for the better, however alot have quite annoyed me too. But I can't change eBay's rules, I can only change what I'm doing.
Check out Overstock.com, I've been listing a little there and you develop networks of friends (which I feel is lacking on eBay).
Just find what works, and go with that.