eBay was a good start for me last year. Just picking up smaller, cheaper CEs and steelbooks. Now though, I don't even remember the last time I used eBay, as all of my money each month tends to go on preorders (from GAME, Amazon(s), Zavvi, HMV, Play.com, etc).
Believe me, even just being a member of this forum will help. My collection has grown by an INSANE amount since I joined, purely because now I get all the information for releases up front (and not 3 months after release) and that in turn, makes me preorder so that I'm guaranteed a copy come release day
xx