The best place to the normal non-ridiculously rare stuff is ebay.
That said - beware: There are many Chinese knock-offs of both the Megahouse and Toy Works models of Clare. For example, if the Megahouse Clare Excellent figure has red letterings on the base, then it's a fake (similarly the box should have the sticker of authenticity like the blue white sticker in the top right on mine). Do research, and know what you're getting (and if the price is too good to be true, then it probably is).
For stuff like the Teresa figure, you'll need massive luck and as well as a fat wallet.
I recommend using Yahoo Auctions Japan.
http://auctions.search.yahoo.co.jp/search?p=クレイモア
That said, most sellers will not ship internationally, and require weird Japanese only form of payment. It's a real hassle. To make this easier/possible, it's best to use a service like:
http://www.rinkya.com/
What they do is bid on your items for you (or buy them from other Japanese sites), and get the items shipped to them. Then, when the item arrives to them, they ship it to you internationally. As a result, you pay for: the item, the Japanese shipping, a processing fee (non-negligable), and international shipping to you (+ any duties, etc). This can get quite expensive! Be aware that that excellent deal you find for $40 can easily cost you over $100 after all is said and done. If using this method, make sure it's worth it to you and expect to pay way over the final sale price.
Good luck.