Buying Individual MiniFigures
Yes, BrickLink is by far going to be your best bet if you are looking for specific minifigures. Make sure you create a wanted list with all the minifigs you want, then quire by shop to see which seller(s) have all or most of the minifigures you want. You can save significantly this way on shipping.

eBay is not so good for individual minifigures as the prices tend to be much higher than on BrickLink, however it is still a great place to shop for bulk minifigs. Deals are not as easy to come by as in the past as people have smartened up and most people know the value of LEGO.

I would suggest to pick a particular theme to collect and be very specific on what you want to get, otherwise minifigure collecting can get out of hand pretty quickly. There are thousands of minifigures (all listed in the BrickLink catalog) - you can get a good selection for reasonable prices ($3-$5 per minifig), but in some themes having minifigs in the $20-$50 range and more is not uncommon (Star Wars is one of them).

Those little people can quickly take over your vallet. So best is to keep them under control for a fun and long-term hobby. ;)