I collect whatever interests me. The only TF lines I collect completely are Masterpiece and Alternators (some Binaltech still). I have a few Classics and others as well. A few Valkyries from Macross and Cyclones from Robotech/Mospeada. A handfullo of figures from Neon Genesis Evangelion, Patlabor, Arnoured Core, Star Wars etc... whatever interests me.
For Transformers and Macross I usually use:
www.hlj.com
www.fantofan.jp shipping is more expensive than HLJ but he often has exclusives that HLJ can't get and will only offer these to regular customers.
Otherwise I use and recommend:
www.figuresdirect.com.au local
www.angolz.com
www.xl-shop.com
For 1/6 figures there's
http://www.oziegoods.com who are local but I've never tried them.
I tend to avoid:
www.bibyco.com.au messed-up orders
www.casefresh.com.au messed-up orders
www.collectoybles.com.au overpriced last time I looked, couldn't get their page to load
www.transfiguretoys.com overpriced