If you are lucky enough to be able to go to an actual art auction, do so. They are fun and you can learn a lot. I would recommend staying as just an observer for the first few times or you could be burned very bad. These people know what they are doing and have spent a lot of time doing their homework. It does, however, make a great spectator sport.
Most auctions have an entry fee and it is usually worth the price.
Don't worry about the really big ones, you won't get invited anyway. Don't discount the antique auctions, even the really small country ones. Sometimes you can get some very good deals on paintings and frames. You have to be careful and once again, only buy what you like. In my area there is an antique auction house that has a sale about every six weeks.