Yep, bricklink and eBay. I don't know if they have a similar store in the UK, but in the US we have "Bricks and Minifigs" which is a brick and mortar store that sells all kinds of LEGO.
If you're looking for specific sets, I'd recommend going to BrickSet first to see what sets you want, then looking this numbers up on eBay and Bricklink. Bricklink also has an inventory function so you can look for specific minifigs and such.
The thing with bricklink, though, is that you have to make separate orders for each store you shop from, so keep that in mind. The Wish List feature is handy because it can help you find stores that have all the parts you want.
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