In Monopoly, Does It Make Sense NOT to Buy a "Second" Property in a Color Group?
According to Kaz Darzinskis' Winning Monopoly:


  Buy from the bank any property that
  will give you ownership of two
  properties in any monopoly group,
  unless you already own a killer
  monopoly.


(I believe he refers to a killer monopoly as being the New York group and up, though it's been a long time since I read the book and could be wrong.)

The theory here is that if you do not already have a strong monopoly, angling to get a weak monopoly to bootstrap your future endeavors is not a waste of time.  If an opponent gets the third of the color group, then you have a much stronger trade platform with that opponent rather than if the power is dispersed amongst three players.

Darzinskis frames purchasing the third of a group as having "veto power" over trades in that color group, and gives the following rule:


  Buy the third remaining property of a
  color group owned by two different
  opponents when those same opponents
  share complete ownership of one other
  killer monopoly.


If you can devalue the trade pieces between the two players who could come together and form a strong monopoly, it's obviously in your best interest to prevent that from happening.  If not, then it's safe to let it go up for auction.

Railroads and Utilities are special cases, as they cannot be developed and so the upsides for monopolizing them are lessened.  As such, having only one of a group will, on average, return more than the face value over the game, so there should not be a reason to not buy them.