Maureen, I think it all depends in the area.  Is your area driven by REOs? Can you find other comparables? Are there more pre-foreclosures, REO, short sales than regular listings?
In the end it all comes down to what the market is doing and your expertise. In some areas where I work there have been no sales for up to 5 months and you can see how that is affecting the market when you look at the active listings and 1/3 of those are even lower from what the lowest most recent sale was 5 month ago. 
It is a changing market and we must also change with it.  Most of us are not use to working in a depreciating market, but that is the sad reality.

Carmen- I know that is all the matter of what the location is supported by- right now our location is about 45% REO and quick sales- next town over it is 95%!

It just makes it harder to give a true CMA. I don't like to make it black and white- I do inform my prospective sellers when there are REO properties that are comparable to theirs.

 Wow, sounds like it should be a feeding frenzy with all the sharks in the water.

But, I have to agree, its not only not fair to include them in the comps, its not plainly obvious that is is short sale from the reports alone, you have to look thru each listing to see the comments,,,I would welcome  a different category to keep it a level playing field

Good thinking Mike- it is something that could be worked out to make the level the playing field as you put it!!