Well, you need a Firefox with installed greasemonkey, which is an extension that allows you to run your scripts on a page that you're looking at in Firefox. The scripts have to be written in Javascript. The script will have to locate the <div> element that contains the bidding history, then once a second copy the part of its content that was updated since last time to another <div> - where ALL bidding history on this page will accumulate. Then, when the auction ends, copy the contents of this div into excel or whatever you use for analysis and parse it (i. e. put time, price and username into different cells).
In the link above provided by JimmyL, the author says that he wrote such a script (and gives a description of his experiment). Try to email him, I think he'll share it.
Thanks. I saw the link after posting and saw that the author had occasionally had some trouble in the last second (due to swoopo's handling of all the simultaneous bids it seems). I wonder how much this will skew any results. Also, there are 179 live auctions right now, but I figure tracking about 25% should be more than enough for statistical purposes.
In the link above provided by JimmyL, the author says that he wrote such a script (and gives a description of his experiment). Try to email him, I think he'll share it.