The hard part about buying figures is, unless you pre-order one when it's announced or have a friend in Japan that's good at arcade claw machines, you have to buy them second-hand. Japanese sellers are Amazon are one way to get them. Another option is to use a proxy shopping service to have one shipped from Japan.
Figures are always expensive, but prices can get really crazy on a rare sculpt or a really popular character. They generally come in 3 ranges:
1) Arcade prizes by Sega, Banpresto, and FuRyu. These are meant to stock arcade claw machines. Prices depend on how rare they are, and how old. They're usually in a $30-$40 dollar price range when they are stocked in arcades, but after that the price can easily break $100 for popular characters. As a general rule they are less detailed and smaller than the figures sold in stores.
2) Lottery prizes from hobby shops and convenience stores. These figures are usually arcade prize quality, but the rarity of the prize makes them more expensive than the same character and size from an Arcade Prize line.
3) Scale Figures: These are the top of the line. Highly detailed, hand painted, often featuring elaborate display bases--and ridiculously expensive. The smaller 1/7 scale figures often break $150 new, and larger figures like the 1/4 Scale bunny girls can double that. They are sold by preorder and made in limited quantities. You have to be really careful who you order from, because there is a huge industry of bootleg figures made in China and its easy to get ripped off if you don't know the difference (or the seller does the old switch-a-roo and ships something different than the pictures).