First, welcome to the forum!
Let me start by giving you an important tip for a new member: It's a good idea to do a thorough search and read lots of threads before deciding to post such a broad question. Some people (not me) can be a bit impatient with new members.
However, I don't think there is any consolidated guide on how to buy puzzles, so maybe it's good you asked!
Here is some advice:
1) The two most popular ways to get custom puzzles are through Shapeways (which gets you a DIY kit) and through an eBay auction (which gets you a completed puzzle). I recommend you spend a while browsing the forum, especially the "New Puzzles" and "General Puzzle Topics" sections. Get a feel for the different ways people sell their puzzles. It's pretty easy to see from just browsing through the first page of topics in "New Puzzles."
2) For a list of puzzle shops on Shapeways, check out this page: viewtopic.php?f=4&t=19417
3) To look for eBay auctions for custom puzzles, just keep an eye on the "Marketplace" section.
To the forum regulars: Perhaps someone (who isn't buried with graduate school homework this weekend) could help expand this a bit. It might be a good thing to have at the top of the Marketplace section.