I will second AmiAmi, but be warned, they do not take kindly to canceled preorders. Also, the Yen
ollar ratio is absolutely awful right now, something I learned firsthand because I just paid for a shipment (I don't collect many anime figures, but I do collect tokusatsu figures and all kinds of robots, which means I mostly collect Bandai). HLJ.com is also really good and has a better ordering systems, but often can't match amiami's discounts... but they do have great sales, and they have several figure sales right now. Both ship from Japan, so make sure you factor in the higher shipping costs and time. Bigbadtoystore is a domestic store that gets a lot of imported stuff too.
It helps if you know which kinds of figures you want to collect: Do you want statues or action figures or dolls or cheaper gashopon or candy toys, and do you want realistic or Super Deformed proportions, etc.
Diamond Previews also solicits several imported figures, so you can take a look at what's offered and try to go down to your local comic book shop and preorder them (Previews shows you what's coming out approximately 2 months from now). They will frequently be cheaper than yen to dollar conversion of the Japanese retail price.