It really depends what it is you want, if you want Tomy blue rail new releases then you need to source it from Japan somehow, Amazon is one route to go down and avoids the pandora's box of the Jauce etc... auction houses.
If you are ok with used, the sure eBay is an effective way of getting a fairly big collection fairly quickly/cheaply, but be aware you may find some loco's will need a bit of tinkering to get them running or wagons need new connectors or whatever. But for some that is part of the fun, buying cheaply and restoring things to a useful state
If you're after trackmaster (yuk) then just hit your local Toys R Us or Walmarts etc... if you're in the USA
If you are ok with used, the sure eBay is an effective way of getting a fairly big collection fairly quickly/cheaply, but be aware you may find some loco's will need a bit of tinkering to get them running or wagons need new connectors or whatever. But for some that is part of the fun, buying cheaply and restoring things to a useful state
If you're after trackmaster (yuk) then just hit your local Toys R Us or Walmarts etc... if you're in the USA
Happily collecting things all my life... 
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