eBay is a good choice, even when the rarities you're currently looking for aren't on there, other ones will be there, and you can be assured that they'll turn up after a week or so. They come and go, always check up on there.
WayneB will almost definitely reccomend Discogs, although I haven't used them myself yet.
The IMD Deluxe Box Set started off at over 50 or 60 quid if I recall (I remember it coming to just over 80 euro with shipping at one point) but it seems to have dropped down to £20 or so, so I'd definitely pick that up while you can.
Another cheap rarity is Their Law: The Singles, the Korean/Japanese version. I read on Wikipedia (with no sources) that only 2000 of these were made, so I was surprised to see a good few in stock on eBay for €14 (mint condition, wrapped), so I'd pick one of those up while you can too.
For the more rare (and much more expensive) things, PM'ing members here would be a good idea, but try not to bother them as the ones with the big collections of rare shit are probably not selling. There's a thread stickied here exactly for your needs,
RARE SHIT FOR BABYQUACK which might be a good place to check, but keep wary of some randomers who come on to advertise stuff extremely overpriced...like a signed poster for a few hundred.
Anyways, good luck with your collection, mine died when I moved abroad and could only bring the albums with me. (My singles and books etc aren't thrown away, don't worry, they're just back in Ireland being taken care of by my mum. I assume.)