I just recently started using eBay.
I have put bids on things and lost because there was a limit as to how much I wanted to spend on a particular item. If I was willing to spend more, then yes, I could have purchased a discontinued item.
There are many items for sale as "Buy It Now" which means you don't have to compete with other bidders. You just pay the asking price. Here again, it depends on whether you want to pay that asking price.
I have noticed some items for sale that are still available from Direct or from retailers like Target or Toys R Us. Ridgeroad Station also has some great items in their inventory that are discontinued. If you can buy from them, do that instead.
As for parts, you might first want to call Playmobil Parts Department with the part number if you want parts. I just placed my first parts order with them yesterday (and I just started collecting! Who'd have thought?). If you're in the US, the phone number for Playmobil is 609-395-5566; follow the phone menu for Parts; the Parts Department is open from 9:00 am - 5:00 pm Monday, 9:00 am - 2:00 pm Tuesday through Thursday, eastern time. Get part numbers from the instructions or from Heather's database: playmodb.org
That was the long answer. The short answer is: if you want something that is long discontinued and price not an object, then yes, eBay is worth it.