I have complied some FAQ (frequently asked questions) which you may find interesting about this feature.
What is BMAH?
BMAH was designed mainly as a gold sink. Rare items are periodically generated and placed on the auction house at various times for players to bid on.
The point is to make players that are sitting on their gold to give it away.
You will eventually have to compete with the richest players on your realm to get the desired item. The bid starts at 10-20K gold and the top bid is 999,999 gold. After you bid that amount, you are guaranteed the item.
Can I place items on the BMAH?
No, because they are generated by NPC, in-game mobs.
For example TGC loot is added by Landro Longshot, the mob you use for redeeming TGC items.
Where is BMAH located?
The Veiled Stairs - Tavern of Mists. North of Valley of the Four Winds. On the map you can see dots which lead to a way up in the hills. That's where you know you're on the right track.
BMAH and its development:
The exterior looks pretty much the same as now, but the interior has changed a bit.
Wrathion (rogues legendary quest line) was sitting with a guard inside. It was thought he is going to be in charge of running the black market.
In the newest build the interior looks like this. Wrathion has changed seats ! An innkeeper was added to the location too.
Here's Madam Goya. She is running the black market auction house. She has bodyguards all over her. She's probably afraid, because she's been selling pandaren kidneys for some time now.
The mob is located a few yards up the path leading to Kun'lai Summit, you can see her from within the Tavern of Mists. No idea why the mob is outside...
The final version of the Black Market auction house will look like this:
A hut along a path leading to the new raid - Terrace of Endless Spring will be added. That's where the mobs will probably reside.
But that's just my thought. I figured that out from this screenshot. Wrathion's Hut is downstairs and this one is up a hill.
What items are being sold?
Below is a complete list of items that have been discovered on the beta. The list may not be complete or some mounts may be added in the development process.
Complete list: You can look these items up manually on WoWHead.com
Mount Name/NPC Drop/Location
Ashes of Al'ar - Kael'thas Sunstrider, TK
Deathcharger's Reins - Rivendare, Stratholme
Flametalon of Alysrazor - Alysrazor, Firelands
Swift White Hawkstrider - Kael'thas Sunstrider, Magister's Terrace
Reins of the Blazing Drake - Deathwing, Dragon Soul
Reins of the Blue Proto-Drake - Skadi the Ruthless, Utgarde Pinnacle
Reins of the Green Proto-Drake - Cracked Egg, Oracle daily quests
Reins of the Drake of the North Wind - Altairus, Vortex Pinnacle
Reins of the Onyxian Drake - Onyxia
Reins of the Drake of the South Wind - Heart of Wind, Throne of the Four Winds
Reins of the Vitreous Stone Drake - Slabhide, Stonecore
Reins of the White Polar Bear - Hyldnir Spoils, Storm Peaks daily quests bag
Vanity Pets - The pets listed under "other" have a really low drop chance.
Argent Tournament pets
Sen'jin Fetish, Tirisfal Batling, Shimmering Wyrmling, Mulgore Hatchling, Durotar Scorpion, Enchanted Broom, Teldrassil Sproutling, Dun Morogh Cub, Mechanopeep, Ammen Vale Lashling
Cat Carrier (Bombay), Proto-Drake Whelp, Tiny Sporebat, Cat Carrier (Black Tabby), Captured Firefly, Giant Sewer Rat, Obsidian Hatchling, Dark Whelpling, Cat Carrier (Siamese), Parrot Cage (Green Wing Macaw)
Armor: I won't be listing the armor you can get from the BMAH, because it would be very long, therefore, I will sum up that you are able to buy various parts of Tier 3 set, which was removed with the removal of Naxxramas (60), New raid epics, which are ilvl 509, especially bracers, necklaces, capes, rings, boots. Season 12 PvP armor - belts, bracers probably. Weapons: Arcanite Ripper, probably Corrupted Ashbringer as well.
Under armor, i think it would be appropriate to list ilvl 476 patterns mainly for tailoring, leatherworking, blacksmithing.
TCG Items: Longo adds TGC items periodically to the BMAH:
Imp in a Ball, Dragon Kite, Fishing Chair, Paper Flying Machine Kit, Goblin Gumbo Kettle, Hippogryph Hatchling, Picnic Basket, Tabard of the Flame, Goblin Weather Machine - Prototype 01-B, Banana Charm, X-51 Nether-Rocket X-TREME, Riding Turtle.
BMAH User Interface
The UI is the same as the one of the casual's auction house plus the crate design and black market sign on the top. Under the name, you'll see the name of the item, the level requirement obviously, seller and current bid. You can bid on an item either by clicking on it and on the right a dialog bar appears or you can enter the amount you wish to spend on a bid on the bottom down of the interface.
This screenshot was taken on Lost Isles (US).