1) When I have it in my budget, do not let it get away from you and overspend, it can happen quickly and easily. When I started this year I started looking through people's collections on this site and learning what was out there, then saved searches for them on ebay to be able to keep an eye out for deals.
2) I went with Ikea's IVAR shelving because it is easily expandable and modifiable for different heights.
3) Ebay. And I also use
http://www.toytracker.net/weta/index.html for checking prices to check against what ebay shows for the past. Also, keep an eye on here for when people on the forums happen to be parting with pieces from their collections, I have gotten a couple really nice ones from fellow forum members.