Depending on what you're looking for, check your local newspaper classified ads.
I'd stay away from some of the roaming arcade/pinball auctions, those tend to have dealers who end up bidding up their own machines.
eBay is good, but shipping can be killer. Most of these machines are heavy. I did get a non-working NeoGeo Candy cab for cheap off of eBay, but what made the deal great was the seller was somewhat local and helped me load it into a vehicle.