Many people loves Warhammer and/or Warhammer 40.000, but GW has been increasingly rising prices up to the point of making it an elite hobby, at least if you want to keep with it more than one or two years and then move on.
But we are lucky that internet allows also to break barriers and access multiple shopping alternatives.
I am going to mention a small list of online shops where I have at least once bought something, explaining in my opinion the good and bad aspects.
Maelstrom Games (Closed, alternative can be Wayland Games)
The good: Really competitive prices (my favourite shop). Deals and special offers. Free shipping with small shopping cart.
The bad: Small stock on some items. Slow restocking. Limited catalog of products.
The good: You can find virtually anything. From really good deals, to nicely painted full armies, to old goodies like really old boxed games, books or miniatures.
The bad: I am not a fanatic of eBay because I have friends who had bad shopping experiences, so my advice is to stick to good reputation people, well known bloggers, or those announcing at websites like BoLS.
Miniatures Hobby
The good: Insanely cheap. Free shipping with small shopping cart. Cheap Forge World item clones. A few no longer available metal miniatures.
The bad: Resin is low quality (specially in thin areas). Molding lines and general cleaning work needed. No instructions, no box... just pieces. Really slow delivery.
The good: Really old treasures can be found here. 100% reliable (unlike eBay). Some items are real deals.
The bad: Very limited catalog. 1-item stock most of the times. Delivery quite slow (3-4 weeks to Spain, and not free!).
The good: Free standard shipping. Exclusive online-only old models. Best customer support (fast, efficient, solving your problems*).
The bad: Same price as physical stores. No discounts, no special web offers, no extras. Delivery times are also slow (at least in Spain, around 2 weeks).
The good: Exclusive official side-factory of GW for normal/non-finecast resin miniatures. Titans, conversion kits, uncommon miniatures (alongside the Imperial Armor codex-like manuals). Some of the miniatures are awesome. Quality is much better than Finecast.
The bad: Price ranges from expensive to insanely expensive. Some miniatures have shopping tricks (like buying separately the two arms) that make them even more expensive.
I also love visiting physical independent stores. Some might have the normal prices (same as GW website), but others usually have discounts or interesting offers, not mentioning maybe one or two no longer available relics.
Also if you want to avoid Finecast, some will probably still have metal minis.
And lastly, ask your friends if they play WH/WH40k if they have some minis they don't want. You might get a positive reply and be able to negotiate a reasonable amount!
Feel free to add more shop recommendations in the comments, indicating where have you bought from to give a hint of delivery locations.
(To avoid being flagged as spam please keep a limit of two or three web links maximum per comment, sorry)
* I had two different problems (a missing sprue from one item, and a delivery problem) and in quick phone calls they took note and fixed it really fast and easily for me.