You can shop for 40K or Warhammer Fantasy in a lot of places. This might be confusing for a newcomer. And it is especially frustrating to start and to find out that you payed a lot more than you should have - usually for miniatures you later find out you do not use at all.
So this is the reason for this little primer. More information can be found in Category:Shopping
Depending on where you live, some options make more or less sense.
Games Workshops are dedicated to the hobby. While the quality of advice given varies a lot, the prices are fixed to the recommend prices (read: high) for GW products and alternative miniatures can not be found. Yet you can one-stop-shop (buying brushes, paints and other necessary things) and usually get to play at the tables present in (nearly?) all Games Workshops.
FLGS - friendly local gaming stores
Compared to Games Workshops, the prices may vary a bit, but since storage costs a lot, web shops tend to be cheaper. But usually, you can also one-stop-shop, usually find a place to play or even paint. Depending on the quality of service, the Games Workshop or your FLGS may be better.
Shopping from eBay may include two things: Either buying new stuff. This means eBay-shops, which are the same as other web shops. Some are good, some are bad.
Or buying used miniatures. The hints given in A Guide to Buying on Ebay and Acquiring Second Hand Miniatures may help there.
Since the wargaming hobby is not that wide spread, compared to other hobbies, most people shop online for goodies. his topic is covered in Buying Bitz and Wargaming Supplies Online. Just a note: Depending on where you live, even shopping in another country may be viable. An example: As of 2/2009, GW Germany seems to offer less discount to retailers than GW UK. So German retailers cannot get the discount UK retailers can, which leads to less discount for you, too. Your country may be in a similar situation. Americans and people from other countries with varying VAT rates across their states might want to make use of that, too.
Just remember to check the applying exchange rates (for example, Paypal uses one slightly less advantageous for you than what most exchange rate websites will tell you; some credit card companies only calculate the exchange rate once they send the bill to you...) and keep the shipping costs in mind.