I have to say that Ebay is unbeatable. I've created a Setzer collection of over 20 show posters, dozens of handbills and misc promotional items, and 10-15 concert shirts, almost all from Ebay. Not only that, but I've gotten good deals on CDs, both US and imports.
However, you have to be patient. When I started my collection about 7 years ago, there were tons of stuff for sale. I had my pick. But it seems that most of the sellers have already unloaded their items and there are fewer versions of each piece available nowadays. I still locate good stuff, but with less competition between sellers now, I find the prices are a bit higher than I paid a few years ago.
Good luck and remember that the hunt is at least half the fun!!