Auctions are perfect for RPGs.
Fantasy Flight Games put out a lot of lousy adventures for their Dark Heresy game line, but "The House of Dust and Ash" from "Disciples of the Dark Gods" is fantastic. It's just 10 pages long if you ignore the handouts and statblocks. It's no longer available, but casual google search should get you a PDF copy.
There's an auction on a mortuary island. The items are from the estate of a legendarily mad and cursed bloodline (think the Heterodynes from Girl Genius meets Vlad the Impaler. Proper evil superscience), so naturally, all sorts of mad and dangerous characters turns up. Of course, everything goes to hell in a handbasket. The auction house seals itself. A volcano is set to erupt shortly. The entire thing was a trap, set by the bloodline's last and looniest heir, to kill any potentially living relatives of the bloodline, no matter how distant.
Elements of a Good Auction AdventureA good but narrowly defined location. An eccentric cast of characters with secrets galore. A list of dangerous valuable items. A set schedule of events. Mystery. Glitz. Heaps and heaps of money. Auctions have it all.
1. The Invitation
Being invited to something makes the players feel special. It connects them to the world and makes the setting seem proactive and alive.
Get baroque. Use evocative, ornate language. Leave the invitation as a bloodstained clue in a murder investigation. Have it delivered in the dead of night by a knight in owl-feather robes. Give it an air of drama and mystery.
Print an example invitation (on cardstock, if possible). Don't use a standard paper size. You can make your own one-use embossing stamp from a bit of carved plastic and a hammer.
Design it like a dungeon but with different considerations. You want a few loops, a few set pieces, and many secrets. A grand old mansion or hotel is ideal. Servants passages, rooms for private conversations, lots of obvious tools and options. A place to use as a stronghold. A central room or atrium with branches, to encourage chance meetings and collisions between rival groups. Ancient secrets, unmapped catacombs.
Ideally, the building should have relatively few entrances and exits.
- A hotel on top of a mountain accessible only by a long winding path (and not during the night, oh no, much too dangerous).
- A mansion on a marsh (with a storm like this? Could be days, maybe weeks before the road is clear.).
- A hotel sealed off by strange government figures in gas masks and white crinkly suits (stay indoors for your protection. Anyone who leaves this area will be shot. This is your only warning).
Groups of 1-3 characters. Lone professors, eccentric and hunted. Bickering couples (it's all an act, they're cultists). One guy in robes with two identical creepy assistants. Mash tropes together.
4-6 groups of participants, plus 1-2 notable members of staff, seems ideal. Any more and the players may lose track. Any fewer and there aren't enough connections to make the auction seem properly chaotic.
- Innocents (a bored socialite, a petty thief in way over their head, hired arm candy)
- Assassins (not here for the items, here to kill one specific person)
- Acquisitionists (here to get one specific item. Anything else is a distraction)
- Subverters (here to switch an item for a fake, destroy an item, prevent a sale, moralize)
Knowledgeable People (professors, occultists)
- Potential Allies
- Potential Rivals
- Fakes (in disguise, impersonating others, could be benign, could be deadly.)
The great thing about an auction is that anyone can turn up. Money is the universal social lubricant. Baronesses in silk and pearls will sit next to bloodsoaked pirates if it means they can bid on the lost von Splitz masterpiece. You can show up in bloodsoaked armour carrying a severed head and be politely asked to store your gory trophy at the coat check.
Everyone shows up in black ties and formal dress for dinner, no matter how incongruous.
4. The Schedule
Show up. Scout the crowd. Gather a few hints. Get a few superficial impressions. Auction off a few items. Possibly retire to dinner. Oh no! The twist! And not all the items have been sold!
Have people enter and leave the auction unexpectedly. Increase tension with red herrings. Someone faints. Someone makes an urgent telephone call. The auctioneer is replaced with an assistant for a few rounds.
Use charts to keep track of everyone. Kidnap the Archpriest has some good timetable formats you can use.
Whatever the PCs goal is - get a specific item, get information, unmask someone, get rich - they won't be able to acomplish it without acting. They can't just bid on the McGuffin, win it, and walk out.
Go nuts. At least 20 items. Most of the really good ones should be evocative, powerful, mysterious, storied, mythical, and dangerous if misused. Some should just be cash. Fragile, inconveniently shaped cash. The useful items are a pile of spare parts. The PCs will use them to assemble their escape plan.
You'll want to include some hidden synergies. You can invent a few yourself, but don't overplan. If you put enough interesting items in the auction house, the players will figure out unexpected uses and ways to mash them together.
You can also play the auction straight. Make it seem like there will be a twist - a volcano, a summoning ritual, a landslide - and then don't deliver. Suddenly, the chaos the PCs were planning to use to get the McGuffin isn't present. Can they still get it? Of course, they can't afford to buy it, and even if they could an unscrupulous antiques dealer has replaced it with a fake, etc.
Auctions aren't great for new groups. The PCs need to know each other's capabilities. They aren't great for groups with lots of tools either; PCs who can teleport and summon hordes of angels will find an auction trite and the items on sale quaint and melodramatic.