In a discussion with ZOS recently, we were informed that there are multiple reasons behind not having an auction house. It isnt just for game flavor or economy control (though that is part of it) - the real reason lies in the technical issues.

An auction house would necessitate a search mechanism. Currently, there are many addons which give you the ability to search through guild stores for specific items. The way these addons work is by repeatedly sending queries to the megaserver - a single search can result in dozens or even hundreds of 'pings' to the server. This puts a severe load on the megaserver, and currently those addons are wreaking havoc for the ZOS developers and IT guys.

In a megaserver-wide auction house system, that ping issue would be multiplied by thousands, as you would no longer just be searching for a guild listing accounting for 500 players, but for all listings on the entire server, thousands of players worth.

Without a complete restructuring of the megaserver system, an auction house is not going to happen - it causes too many technical issues, and the benefit is not worth the problems it would cause.

Zenimax is currently working on adding caravan-style stores throughout the game world which a specific guild will be able to 'buy' ownership of. After obtaining ownership of the caravan, players from any guild (or no guild) will be able to buy goods from that guild's store without having to be a member. That's about as close to an auction house as we're going to get - it will substantially improve the market, though.

As it is, they're trying to find ways of dealing with the way guild store searching addons work in order to lessen the server stress they cause.