I'm new Infinity too, but I've been slowly trying to figure things out. I'd be happy to try an answer some questions if you have specific ones.
As far as best store to buy from, the prices are going to be the same pretty much everywhere, but GameStop and Toys R Us both frequently have sales on the figures, some you might want to keep an eye out for those (GameStop recently had them 2 for $20, and Toys R Us $3 for 30). It's a good to pick up the individual figures when they are on sale so you can save a few bucks.