As a collector who only started collecting in late 2007, it is a common issue that I need to source and buy sets that are no longer available. As it was SW that brought me back in, I have made it my (seemingly unacheiveable goal) to own all of the sets in that theme. This is a job that would of course be made slightly easier if TLG weren't pumping out 20+ new sets every year, for me, this would be the one upside if the SW licence were ever to end, I may have a chance of completing my collection then!
Previously, I've only bought OOP (Out of Production) sets from three sources: ebay, bricklink and a smattering of other online stores. Here's my thoughts:
eBay - I'll admit it, I love ebay. I know a lot of people rag on it, but for me I've found it be consistently be the best place for me to buy. To my knowledge, they are also the only source for auctions, which is a great way to occasionally grab a bargain. Now I know that ebay has been flooded with powersellers who shun the auction for BIN (Buy It Now) lots, but nobody forces you to buy from them. I have bought very few sets using BIN on ebay, a few that I considered to be fair market value, but the majority seem to be over-inflated. Auctions is really where it's at with ebay, where the market really is dictating the worth of the item. I've probably bought over 75% of my OOP sets using ebay auctions, and whilst nothing in particular stands out as a total bargain, it's rare that I come away feeling ripped off.
I think a lot of people don't like ebay, certainly people who sell on it anyway, because of the high fees. If using PayPal as the payment method, by my calcualtions it's around 13-14%. Do I think that's high, well yes, but what people need to remember is that the size of the audience you are reaching. How else are you going to be able to market your item to literally millions of people? Marketing costs money, and suddenly 14% doesn't so bad.
The level of buyer protection these days is also crazy good. I'm sure sellers hate this, but for the buyer using PayPal to pay for their items, you're pretty much covered from every angle. I recently had a set from the US not turn up, depsite the reassurances of the seller that it had been shipped, to cut a long story short, I got a full refund from ebay (including shipping) and it's now up to them to chase the money back from the seller.
Reading this back, it seems like an advert for ebay, this was not my intention, just my personal opinion. I've made over 300 transactions on eBay (not all Lego it should be said) and I've only ever had 1 item not turn up, and I've only been genuinely disappointed with my purchase on maybe 3 occasions. For me, that's a better satisfaction rate than many other large retailers, who seem to think it's their duty to get your once pristine set into the worst shape possible during transit (i'm looking at you Tesco Direct!).
Bricklink - It took me a long time to make my first purchase on Bricklink, I had been using it for a while to help me determine the market value for sets, but something about the way the site looked was preventing me from buying anything there. I also didn't like the fact that you couldn't be sure how much the shipping was going to be before committing to buy the item (I realise now that this was more of a hangover from using ebay so much where it is common practice to over-inflate shipping costs). After reading more forums I came to realise what a valuable resource Bricklink, particularly for individual bricks. I finally broke my duck with Bricklink maybe around a year ago and have used it around 30 times now, although a lot of those are for bricks rather than sets. I have found all of the sellers I've used to be excellent and only had one lost in post scenario which was eventually re-sent at the sellers cost. Since Bricklink is exclusively BIN, it is inevitable that you will have to pay more than in an ebay auction. However, if you're comparing BIN prices directly between eBay and Bricklink, I would say Bricklink probably has the edge. This is maybe because as a Bricklink seller, they only have to pay between 3-5% compared to ebay's 9.9% on the final selling price (I'm not factoring in PayPal costs here which are the same for sellers on both sites) and so don't feel they have to charge so much for the set in the first place.
Other avenues - Not got much to say here, I've bought maybe 2 sets from other retailers, I think I've used Amazon Marektplace once, a site called SP Models who had an OOP set in stock a few years back and that's about it. When I first got into collecting, Tesco Direct seemed to have a few recently OOP sets on sale for 1/2 price, but ever since then they seem to have realised the true worth of Lego and have (unfortunately for me) bucked their ideas up. There are quite a few sites out there selling via thier own websites, although often they will also be selling via other channels such as Amazon Marketplace and PlayTrade (Play.com's take on the Amazon Marketplace). I've generally found the prices on these sites to be exhorbitantly high so have stayed well clear.
So, that's my two-pence worth, thanks for reading this lenghty post, and I'd welcome your thoughts and in particular would love to hear about any untapped gold mines that I've missed :o)
The Brickish AGM should be a good source of old stuff, there are usually a couple of traders there on the Sunday selling all sorts of cr--sorry-- second hand stuff.
Being part of a large LUG helps a lot; trading with other members has become my primary way of getting older sets. I think I've only ever bought loose bricks from Bricklink.
I came out of my Dark Ages around 4 years ago, and had the same misson as @atkinsar - to get all the retired SW sets. I'm pleased to say that my quest is now complete. I could write a book on what I learned during the 2-3 years it took me to complete the set, but I'll spare you the tedious details and cut to the chase.
The vast majority of my sets were sourced from eBay.co.uk. All boxed, with instructions. As well as a source of funds and a commitment to use them, the key to doing this successfully is a combination of patience, decisiveness and organisation. Patience, because many of the retired sets actually come up on eBay quite often, so you need to guard against bidding too much and bankrupting yourself. The same set can sell for widely differing amounts depending on condition and random factors like who happens to be bidding and how a set is described in the listing. I would routinely silently watch a number of auctions initially to get a feel for the price range and then never be willing to bid above the low end of that range, knowing that if (and usually when) I didn't win there'd be another along shortly. Decisiveness, because you quickly identify those sets which come up much less frequently, and when these do finally appear (e.g. Darth Maul bust and Ultimate Space Battle are a couple of examples), you need to be bold, bid decisively, and make sure you get them. Finally, organisation - set up a watch list of all the sets on eBay so you know when they come up and keep a record of auctions (for each set record number of times it's listed, described condition, lowest winning bid, highest winning bid etc.) on a spreadsheet. The downside of eBay (apart from all the other people competing for the same items !) is that pieces were sometimes missing from used sets I bought, but I was always able to replace missing parts for pennies thanks to the wonders of Bricklink. I'd keep a list of all the missing parts from all the sets as I went along, and when the list reached critical mass I'd put in Bricklink orders so as to minimise postage charges. Maybe I've just been lucky, but in the process of winning auctions for literally hundreds of LEGO items I've never been ripped off, a few missing pieces in allegedly 'complete' sets apart.
I never bought sets from Bricklink. To be frank, Bricklink is wonderful for restoring sets with missing parts and I'd unreservedly recommend it to anyone for this purpose, but the price of sets on there is laughable and taking the p*ss. The upside is that you're almost certainly dealing with an enthusiast so you can have more confidence that what you're buying is exactly as described. But remember how I kept a record of eBay auctions over a period of time, recording lowest winning bids and highest winning bids ? With the exception of Brickmaster rarities, I don't recall one situation where the highest winning bid recorded over multiple eBay auctions exceeded the lowest-priced boxed, complete item on Bricklink.... Sets are massively overpriced there. Period. Maybe OK for buying that special set you've always dreamed of right now rather than waiting for an auction come up OR if you must have MISB, pristine items every time (in which case be aware you'll need a second mortgage), but that's it. I've sourced a few Brickmaster Polybags from Bricklink sellers, but that's all.
A final tip: if you want to keep the collection complete going forward, make sure you buy current sets before they're retired. Better that then go through the hassle of finding a deal once they're gone.....
If you'd be willing to share your spreadsheet format with me, that would be useful (just the format, not your data, you may feel that's too personal).
Oh, and not buying the current SW sets before they go out of production is not currently an issue. Managing to hold back long enough for them to go on sale without waiting too long is the predicament here I guess!
And I know what you mean about how tough it is to hold off buying the new sets. If I remember rightly, some (even perhaps @Huw) bought the new Star Wars stuff on Amazon.fr when it appeared last year, but I've been sitting on my hands to block the impulse to buy up all the current sets. My patience is starting to pay off, however - the only 2011 SW sets I've paid more than 70% RRP for so far were a couple of battle packs from Argos, only bought to get the minifig brochures.....