auto_ptr's copy is broken, so if you copy one the first object loses the reference. Also, it always uses delete on the reference, which means it can't be used for things that don't use delete (like arrays which use delete[]).
Consider a helper function that returns a heap-allocated object and think whether auto_ptr or shared_ptr better modeled the function's intent of giving ownership of the object to the caller.
The real problem with auto_ptr is that if anything emits a call to auto_ptr destructor at the point where the object pointed to is incomplete (forward-declared), the destructor code won't run, only memory would be freed.