Pros:
You could have your items up for sale while inside a clockwork, allowing players to explore clockworks more often instead of hanging out in Haven.
Much easier and efficient to buy and sell items through an interface than it is to spam /1 and tabbing out to post offers on forums.
It'd regulate the economy, but in a good way. Less experienced players would be more unlikely to be screwed over in a deal.
The game has the groundwork for one with a mailing system already implemented.
The spot near the Auction House would turn into a localized trading/crafting center. This would further curb /1 spam and allow /1 chat to be more for helping others in their adventures, finding friends, guilds, and party members, etc.
Auction House fees would serve as a Crown sink.
Cons:
The "Auction House" name has been done a billion times. I'm sure you guys could think of a better name though.
I think this would be easily the best implementation yet. Right now, it's fairly difficult to buy the materials you need; it's even harder to sell excess materials.
I agree whole heatedly having some sort of centralized trade system or "auction house" should be included in this game. I have been having trouble finding materials to make 2 star items, but I'm not willing to sit around spamming "WTB Monster Bone" for an hour.