I don't play the DDM game, only the RPG. However, I am something of a collector and a completist. This is can be an expensive character defect!
I have limited myself to buying one box from each set, to get the list of minis in the set and have the thrill of one random rare. It also allows me to support my FLGS in a small way, which is important to me - my next nearest store is a boat or plane trip away, so I want to keep my FLGS going.
I then buy a complete set of commons and uncommons on eBay. The figures work out at a very reasonably cost, but as they usually have to come from the USA the postage is generally about an extra 100% cost per figure. However, even if you live in the same country as the seller, always check the postage before bidding. Some sellers charge a high postage for the first mini, but only have a small increment for additional items. I've been caught before bidding on dozens of auctions with the same seller to take advantage of this, then getting outbid at the last minute on every one except one, so getting stung for postage.
I then try and pick up as many rares as I can manage to get cheaply on eBay. The prices vary considerably, presumably because some are better than others for the DDM game. I've resigned myself to never getting a beholder, for example.
There is also the occasional "must have" figure which I can't bring myself to do without - I'm trying to work on my will power, and I'm a lot better than I was!
I've also noticed a definite "price curve", where new sets cost more when they come out, the price falls as they get more common, then shoots back up again once the set is out of print. Some people start selling unwanted commons on eBay in sets of 10 or more of the same mini, so this can be a great way to pick up a squad of orcs (or in my case, an army of celestial dire badgers for a dollar - I couldn't resist it, and I'll fit them into an encounter somehow!)
If you are solely interested in having minis for role-playing, be wary of buying rares such as ogres and trolls, because the pattern at the moment seems to be to subsequently include uncommon (and therefore cheaper) versions in later sets. Also, as the quality is improving all the time, generally the later the mini is the better it looks.
I have also used popular collections, and found them very good for commons and uncommons but sometimes expensive for rares. I do find it helpful to know what their rare prices are, as it would be daft to get sucked into bidding more than that on eBay.
However, others have said, they don't tell you what's in stock, and I wouldn't bother trying to buy older singles from them - you sometimes have to put 10 minis in your cart before you get one that is actually in stock, and life is too short for that.