Buying Pico Storyware: Where to go? How much to pay?

Alright, you may consider this a sort of beginner's guide to Sega Pico "Storyware" collecting. (as of the time of it's writing, anyhow.)
This will hopefully set you off into being able to find the Pico games you want for a price that won't utterly embarrass you.

Let's start with... oh! Those Amazon listings I put on the sidebar!
I'll start by reminding you all that the Amazon listings are all third-party sellers who probably have used consoles and games.
How about them? Well, it depends. If you want to get a Pico system, that $8.99 one appears to be a reasonable option there, and some of the games are cheap. Also, I've liked using Amazon e-Certificates in the past.

But.. who in their right mind would want to pay that much for Sonic the Hedgehog's Gameworld?

Word of Advice which mostly applies to USA Pico collectors: If you paid more than $50 for any one game in your own region, you're probably being ripped of. These games were produced in solid quantities and currently are not in high demand at all.
It's possible this is true with other regions as well, but I'm not as familiar with how it is in other countries. Also, when you're purchasing and importing from other countries more factors can play into the price, such as shipping and deputy service charges.

So, how about eBay? Let's run a "Sega Pico" search.
Currently, the best way to get started grabbing Pico games is to find a cheap eBay lot and snag it. You'll likely be the only bidder. Easy as pie, you'll get 2-5 Pico games, and that's kinda like... a quarter of the Pico's US library as it is. Ha ha ha.

The import Japanese games are probably good deals as long as they're under $45 or so, but anything $65 or so and you're more likely to find a better deal checking Japanese shops.

You might also have noticed some "Beena" listings... ahh, gotta save stuff for later, huh?

Oh, I suppose I should toss the potential non-US readers a bone here, huh?
eBay UK Pico Listings
eBay DE Pico Listings
eBay FR Pico Listings
And of course;
A search on "ピコ" in the "Games" category on Yahoo Japan Auctions.

So, with this knowledge, try grabbing some games!
"What will my investment get me?", you ask?
Well, you might get gamer cred. You might get a good tool for a baby-sitting job. You might get the Angry Video Game Nerd's condolences and sympathy. In an unlikely scenario, you might get future collector's items that will be profitable to sell. In an even more unlikely scenario, you might get actual enjoyment and fun while playing these games with your adult mind.
Is any of that relevant to your interests? Probably not, but hey, there's bound to be some other good reasons down the line.