Yeah I've been buying things off Bricklink for a little while now.

If I'm searching for quite a few pieces, I tend to check out the bigger stores first (stores with 20K, 30K, 40K, 50K+ pieces) in countries such as the US, UK, here in Oz, but if you're looking for older pieces - you're more likely to find them in European stores (shipping for small lots from Europe can be expensive but if you're like me & tend to buy a fair bit at a time, shipping isn't too bad).

When it comes to stores, make sure you read the Splash/Store Terms before you commit to buy (some overseas stores don't ship outside of their continent). I'm not sure if you read about paying but it's different from Ebay in that the seller will contact you & ask you to make a payment directly into their paypal account.

Sometimes you can find better prices on Bricklink & at other times there are better prices for certain sets/mini-figs on Ebay - make sure you check out both. Oh & it may take some time to read/understand all the different part terminology but it's worth it. I've been buying things from Bricklink for about a year now & I've already got a feedback score of 29... Lol!