I always shop in this order (and it's how I've managed to get to the point that I'm only missing 5 or 6 English releases, not counting 'adventures').
First, run a search on Ebay for the book you want. Look primarily for cheaply priced Buy It Now offerings. Then, if that doesn't work, sort by price, and then place the five (or more, if you like) 'best' offerings on your watch list. Make sure that when you're evaluating them that you take S/H charges into account, and also pay close attention to seller feedback.
Don't bid yet.Second, run a search on Amazon. You're looking for the "X are available used or new" Amazon Marketplace offerings, usually found just under the primary stuff. You may well find on on Amazon that is cheaper than those you found on Ebay, and if there are no Buy It Now options on Ebay, this is the Amazon equivalent. Leave the page up, but don't buy just yet.
Third, go to
Stiggybaby's and see what he has at the moment. Chances are even if he has it, it's higher than Ebay or Amazon, but he is
always worth checking with. Sometimes the stuff isn't in a very logical order, so make sure you look closely.
Once you have the cheapest option from the three, you're pretty safe going ahead and buying. Sure, if you spread your search out over time, you might get a slightly better deal. Just depends on when you want something. There are a few other OOP dealers online, but unfortunately I've lost a lot of bookmarks over the last year, and haven't been as serious in book hunting lately. One thing I learned as a general rule was "Stiggy has it cheaper, if anyone has it at all" when it comes to websites other than Ebay and Amazon.
I have used this basic approach to flesh out my SR and AD&D 2nd and 1st edition collections, and I have a crap ton of books. It works.
Edit: I should say that yeah, if any local gaming store carries used stuff, has a decent selection of it, and offers it at sane prices (in other words, they're not trying to charge $40 for "collectible" books), by all means pick them up there. It's quick, and you can see what you're buying. I did actually get a fair amount of my AD&D collections at a place on Oahu called Jelly's (if you're ever there...GO).