Whenever some player doesn't buy a property and it goes up for auction, the players' bids are interestingly strategic. The optimal strategy at that point is not to "buy the property if you can", at least in a game of more than two players — two players using that strategy will bankrupt each other quickly, paying $3000 for Vermont Avenue and the like, and someone else will win. (It's probably not the optimal strategy in a two-player game either, but that's not as obvious.)

If the other players will bid less than the sticker price, then it's a better strategy to decline the sticker price and pick the property up in the ensuing auction. Under some circumstances (e.g. all the other players are broke) you can pick it up for a song in this case.

For those who are fuzzy on the rules: http://richard_wilding.tripod.com/monorules.htm