I see the guy above this post only ever wrote that one post, guess this was not the site for him.
Anyway, one of the best tips I can give collectors is to check their local thrift shops and salvation army outlets. You will almost never find a complete transformer there (I never did) but its a great place to find parts and placeholders. There is a junk market not too far from where I am which I visit once a month, and its made up of a bunch of small stalls where people sell the junk they find. I was able to find a nearly complete ROTF Leader Megatron for 5$ and a 90% complete Leader Deep Dessert Brawl for 10$.
Latest TFs: BotCon 2011 three Autotroopers set, Animated Grimlock, Animated Ultra Magnus, Deluxe Airachnid (lets play one of these things is not like the others)
If anyone cares for these, I have an extra Arms Micron 27 Ultra Magnus up for grabs, as well as the Beast Hunter Commander class figures that were never sold in the US (Ultra Magnus and Bludgeon)