Heritage Auctions, which showcases illustration more often than the high society auction houses, has an illustration auction in New York this weekend, October 13-14, 2012, that features some superb examples of Golden Age illustration.
If you sign up for a free account on their site, you can view high resolution images of the works. [Addendum: I’m told you may no longer need to register for an account in order to see the high resolution images on the Heritage Auctions site. Try it and if it doesn’t give you access, you can always register.]
You can also search the Heritage site for artists by name, and choose the “Sold Items” tab to see past results. Their auctions include American and European art (basically a step below the society auction houses, but that can be good for particular artists), and even comics art, though they seem to have a hard time distinguishing between original comics art and comic books as collectables.
(Images above: Dean Cornwell, N.C. Wyeth, Norman Rockwell, Howard Pyle, J.C. Leyendecker, Jessie Wilcox Smith, Frank Schoonover, Edmund Dulac)