I don't know of any way the guy bidding could do anything bad with the ESN. A ESN gets dirty due to the account it's attached to is not paid-to-date and the carrier that holds that account disconnects the phone. That phone then can't be used until the account's debt is paid, even if it's sold to someone else.
You can always call your carrier's customer support and make sure there's nothing that they can do to screw you over by knowing the ESN, but I don't think there's anything.