What are the guidelines for approaching auditions for Masters programs? Has anyone
here auditioned for graduate school? What did they play and how did it go?

It really depends on what school you're going to. You'll need to ask each one that you're applying to. Most of them will probably want to choose from a list of at least a couple major/difficult works from each period. Bach dance suites, Beethoven sonatas, Chopin etudes, etc.

Some Liszt might be a good idea... but since I'm in high school I really don't know much about that kind of thing :p