Of course, that often requires you to have something to trade.
The forums are a really good place to look. Often you'll be able to buy things or trade for less than what you'll pay on eBay (and it still benefits the seller because they don't have to pay the eBay fees).
I think what a lot of us do is scour eBay for the very occasional good deal. Most things tend to sell for the market value but some sell for way too much and some for way too little. If you look hard enough, you'll find some examples of the later. It will tend to happen if you are buying a larger lot. It's rare that a single figure will slip through at anything less than the standard price.
Beyond that it's just a game of patience. I have figures I've been looking for for 5 years. Occasionally I'll see one pop up on eBay but I won't buy it because it sells for more than I think it's worth. But sometimes I get lucky and manage to lowball it.
It helps if you know precisely what you're looking for. I have about 5-10 fairly specific searches saved on eBay and I tend to glance at them every few days to see if anything new and interesting is up. When I was trying to complete the Mordheim range I would consistently look at any Mordheim stuff; I got very good at spotting auctions that would interest me on the fly. Now it's dwarves. Sometimes weeks will go by without any interesting auctions popping up, and sometimes I would be tagging fifty auctions in one go. The advantage to watching everything like this is that you really develop a sense of the market value of the figs you're looking for.
Codeman, what kind of figures are you itching to buy? Are you into fantasy or 40K? What armies? Some are
definitely more expensive than others.
Good luck!
Jeff