As far as I'm concerned, the 'collector experience' is much, much better on ebay - you get to track down old sets, or incomplete sets or missing bits, and then therre's the anticipation of having the items in the post, and the thrill in receiving the packets and opening them and enjoying things you never got the chance of seeing on the market when they first came out. True, sometimes it's more expensive that way, but if you trawl ebay properly, you're sure to find a couple of good bargains.
I'll still be buying these new knights for customising, but now that I've seen the pictures up close it sort of ruined it for me. Those belts! Nevermind the silly siege machines straight out of Army of Darkness. But the belts ... Grrr ...