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Sedo, Afternic, GoDaddy ($5/year but worth it for the exposure). SnapNames (but you need to transfer your domains). Other than that, I'd recommend you create your own for sale website.
You can check my sig line for an article that is comprehensive on where to sell.
Yes you should run an auction at one place at a time.
Just remember though that there are lots of places to "list" and they may sit there forever never getting an eyeball on them. I would suggest first listing some of the domains you have for sale here to get a feel of what you have.
many times people will list crappy ass domains and then ask "why have I not got any sales?" So at least this way if we see the caliber of your domains we an help you better.