Forgotten Tales

A city like Silverwoods or Martek's would make sense, but they are already a bit crowded; when you factor in that this building will be quite busy, these locations are not ideal. Ideally, the building itself should have a large open space around it, be able to be interacted with by multiple players at once, and be in a fairly large non-pvp area. My personal vote would be start map... however, there are many lightly used maps that this could be worked in. A new map to serve this purpose would work as well.

As I mentioned above, multiple players need to be able to use this building at the same time... not like the bank. A possible workaround would be multiple "tellers" like in a real life bank; basically, multiple npcs at counters that can start the interaction.

This is the meat and potatoes. This is also where you will see the most abuse, if it's not done right.
Things to consider:
a limit of how many items a single account can list for sale at one time (or players WILL flood the auction)
consideration of simultaneous actions/trades (someone removes an item while another is buying it)
a "minimum kingdom price", so you can't spam sell tons of good items for 1 gold or whatever (that would ruin game economy even more)
max price is optional; but it should exist so that if you set the price too high, the item doesn't "disappear like a clan building"
how players collect their profits

I envision it like this:
The system would work on a "queue"; one transaction completed at a time; if you ask to make a transaction, you enter the "waiting list", and it is possible that when your turn comes up, your transaction can't complete (i.e. you asked to buy something, and someone else bought it first). When on the waiting list, you will receive a /msg or notification telling you when your transaction is completed (and you can view the results). Oh, the gold for buying is taken from you when you make the buy offer; if it fails, you receive your gold back.
When your transaction is completed, you can pickup your item/gold at a teller.
For selling, it would be similar; however, limits need to be in place to avoid abuses. First limit is how many items you can sell at once (I'd say 5 or 10 max). Also, you should consider a "time limit"; basically, after a set time (maybe, one week), if your item does not sell, you receive a fail /msg or notification, and you need to go pick your item up before you can try selling it again. Also, a limit on the tellers for what they can hold should be done as well. If the teller is full of items or gold for you, you MUST acquire them before you can sell more. An ability to cancel any item you have for sale should be available; and a small "tax" or fee for using the building could be added (like 5 to 15%).

This is "optional", but desired... the ability to trade one item for another
I can only think of some sort of message board, where you can post offers etc.
Listing items to trade, or make offers on items available...
Again, limits need to be in place to stop abuse.
When both parties agree to the trade, the building could complete it automatically, and the players just pick up their items.
If the fee idea is used, perhaps, a flat rate here instead of a percentage. Or, a percentage calculated by item worth or level.

This is quite important. First, you need to know what features are in and what aren't
It needs to be easy to use, but useful as well.
The current structure of how inventories work etc. could be used, but it would make the system very clunky and it would push away users.
What is needed most: sort and search options.
Search is needed if you're looking for something specific; or maybe, you're looking for a specific seller.
Sorting is much needed (everywhere, tbh). If you're looking to buy a new staff, you don't want to wade through pages and pages of gear you can't use.
The buy and sell screens should be VERY distinct (I would recommend using different colours; very contrasted so color-blind people can still tell)
Confirmation windows on nearly every transaction
Buttons/tabs to switch between buy, sell, and teller (pickup items/gold).
Your gold should always be visible.

The current system is not perfect. If you're not looking when a notification pops up, you'll miss it entirely; also, sometimes, they flash so quick, you don't read them. And what if you have your pack open? Many appear, but do all?
Messages are great to a point.. however, they do get lost frequently. Connection issues, etc, and all your messages are lost if you have them, but have not read them. And sometimes, they don't send at all.
For the existing system, you could go either way.. I would recommend though, that "reminders" happen everytime you log on (similar to purchases in your pack, that constantly bug you; but, they should NOT repeat from a simple map change, just a single time when you log on). Now, it is possible perhaps for multiple messages to be pending for one player. So, either send multiple /msgs, or have a compounded message/notification that says "You have news waiting at the auction house" or similar.
Granted, this feature is not really necessary, but it would be desirable.
For example: you put something on sale, and log off. Hours later, it's sold. When you log on, it would be nice to know this already (instead of waiting and checking every once in a while).
Oh... a settings option to turn these on or off may be nice as well.

I know there were more ideas I had over time; I'll add in replies if any of note pop up.
If the buy, sell, and "teller" options are too difficult to make as one system, make them separate; the player can easily walk from one npc to another as needed.
Function, ease of use, and prevention of abuse are the most important things I think.
If the player to player trade system is ever updated (I believe it will be), it could change some features here.