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Well, I recall a couple of items that I remember sold for my max bid. But since I have always considered them good buys, I have never felt too steamed about it.
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i just read Peter Nash's blog entry on this matter at haulsofshame
Someone posted a great line in the comments section: Even if you were never part of a shill bid, you still lose. (Guess he means shill bidding drives up pricing for the entire hobby)
On a releated note, I hate Hunt Auction's phantom bidding on behalf of the consigner. Maybe someone can explain the difference to me of this practice vs. shill bidding!