This is a roughly price-ordered rumination on how to get weight plates, bars, and other exercise gear. It's not like this stuff is hard to find, but it can be pretty expensive. It can cost more for a pair of 45 pound plates than for a couple months of gym membership. So let's see what we can do to avoid paying full price.
Important Note: Remember when buying or otherwise acquiring weights to make sure you're getting what you need - compare standard plates (1" holes) with Olympic plates (2" holes). They are not compatible, and you want to make sure you're getting what you need. Make sure you avoid vinyl-covered concrete-filled weights; they're notorious for falling apart and they take up lots of bar room, too - you can't load up a bar very heavy with thick, concrete weights.
In decreasing order of cost:
Retail stores: Sporting good stores have a full line of weights, bars, and benches. If you just want a set to start with, you can get one here - no worries about mixing and matching, and the price is usually a break off the individual parts.
Hint: If you can find a second-hand sports store in your area, check it out. One such chain is Play It Again Sports.
Pros: They have the weights you need, and they are in excellent condition.
Cons: They charge around $1/pound these days, sometimes more, sometimes less. This adds up when you want pairs of hex dumbbells in 5 pound increments from 5-100 pounds, or need 4 x 45 pound plates for your improving deadlift.
Online stores: Why drag yourself to the sporting good store when you can drag the sporting goods store to you?
Pros: Generally a lower cost. Best selection in the world, because you have the whole selection of the world! You can't check the weights in person, but if you stick to a reputable place, you will get what you ask for.
Cons: Shipping. Shipping weights isn't cheap for anyone, and the cost is passed onto you. This may still be - and often is - cheaper than retail and way more convenient. It's also hard if you don't have a specific idea what you need - there are many weight plates out there, and if you need dumbbells or a kettlebell you can't just give them a heft and choose the weight that you need. You have to know what you need - or be prepared to ask specific questions from the online store's customer service or a handy weight training friend.
One additional minor con: Your shipping company representative or post office worker might not love you when your 20kg kettlebell comes and she's got to carry it. Mine ditched it on the sidewalk by the fence.
Junkyards: Old weights are metal, and scrap metal ends up in junkyards. If you've got one near you, give them a call or drop by. They'll sell weights based on the going rate for that much weight of metal.
Pros: The price is pretty good.
Cons: The selection is whatever they have, and it doesn't replenish regularly. The weights may be in
terrible condition - they did get junked for scrap, not passed on to a caring owner. Expect rust.
Craigslist: Take a look at your local Craigslist listings. There is a whole sporting goods section, and weights and weight training gear get added daily. They don't always get deleted after it sells, though, so expect to send a lot of emails and get a scattering of answers. Be wary of retailers using it as a cheap advertising device and scammers looking for email addresses and credit card information.
Pros: Pretty cheap! You can also post items wanted, if you want something specific and expect sellers might come to you.
Cons: You need to move fast, and even "I'll come right by now" is too slow for some sellers. More than once I've been burned by someone selling something out from under me. Remember to call and confirm they've still got it before you leave the house. The selection isn't ideal, and generally you'll find more beginner's weight sets than individual pieces. That's fine if you need a big set, not if you need a couple plates. Prices are what the buyer thinks he or she can get, so they might be very high for what you're getting. Know the value and real cost of the items you are looking for.
Garage Sales: Garage sales are hit-or-miss. Go to enough of them and you may find gems - one of my friends got a 16kg, 24kg, and 32kg set of kettlebells for a few bucks at a garage sale. I got a bench, several heavy bags (for punching/kicking practice), and some heavy hex dumbbells for almost nothing. Other times you'll find the owners just can't bear to part with their weights for less than 90-100% of the full retail value. And most of the time, "fitness gear" means a couple dinky dumbbells and a ski machine or crunch-o-matic. Hint: you can find local garage sales on Craiglist. Another hint - go early. As in, be there when they open. The serious garage sale fanatics will be there, and it's easy to miss out if one or more of them also happen to be shopping for weight plates.
Pros: Generally, a much lower price - and you can bargain it down if you're willing to take lots of stuff of their hands at once.
Cons: Hit-or-miss. Most of the time "fitness gear" doesn't mean 45-pound plates, bumpers, kettlebells, and squat racks. Expect to burn a lot of gas before you find what you're looking for.
Hint: If you have friends who go to garage sales, give them your cell phone number and an idea of what you want...they may be persuaded to call you up when they come across it.
Freecycle: Never overlook the possibility of getting your weights for free. After all, they are heavy and hard to move, so people may just want them taken off their hands.
Pros: Can't beat the price.
Cons: No one else can beat the price, either, so weights go quickly. If they don't, it may be because you have to take a whole set - bench, weights, bars, etc. - just to get a few extra plates. Have a disposal plan for the stuff you don't need.
If you're always getting a retail weight set passed on, expect the same mix of weights - you'll end up with a lot of 2.5s, 5s, and 10s and a lot less 45s.
The quality can be spotty - generally folks freecyling weights and bars aren't getting rid of carefully cared-for 45-pound plates and Ivanko barbells...but junk sets that were on sale at some point.
Those are generally the ways I shop for plates and bars. If you know any others I've missed, please comment.