Diablo – Is the Auction House a global AH in Diablo III

Unfortunately the Auction Houses are only accessible from the menus, not anywhere in the game via your character.

The Auction House is a new trading system introduced in Diablo III which shares many features with similar systems found in other games, such as World of Warcraft. Accessed through Battle.net and not from in-game, the auction house allows all players within a region (US, EU etc.) to buy and sell items easily and conveniently between each other. Almost all items other than quest items can be sold between players, and everything is run by the players: Blizzard will not sell any items.

http://www.diablowiki.com/Auction_House

Edit: Blizzard has since confirmed that this is a deliberate design decision (Source).

Contrary to MMOs like World of Warcraft Diablo III is not a game where the auction house meta-game is part of the in-game story.

It isn't really an either/or thing, because there is no cost to a failed listing on the auction house. If the auction ends without any bids, you get the item back and can sell it to a vendor. So the only limitation is that you can only have 10 active auctions at a time, and you should consider using the auction house right away. You will make a profit anytime that you can auction for more than vendor price +15%, and as long as you never set your price lower than that, you can't lose money by trying to auction something.

My guess is that there won't be much of a market for magic (blue) items on the auction house, since rare (yellow) items are significantly better and will remain pretty cheap since they can be resold when you upgrade (unlike in WoW). So in practice, attempting to sell blue items will probably not get you anything, and you'll just end up vendoring it anyways, but unless you hit the 10 auction cap or needed the money right away, you didn't lose anything by trying. And there might be some blue items which can auction for slightly above vendor price + 15%.