Bricklink is a site designed for trading Lego parts, instructions and sets. There are hundreds of stores, and you can search by part numbers or categories.

All the transactions are in US Dollars, but you can easily find UK and European sellers to buy stuff from. It has a rating/feedback system not unlike Ebay although it is not as often used. Prices can vary wildly - but when you search - all prices and locations are listed with the item and store details.

It is strongly advised that you use this with Peeron to lookup the sets and parts you are after. When looking to buy Lego in bulk, or find obsolete sets like the CyberMaster kit, Bricklink might be a good port of call. Of course, shop around at eBay and the Lugnet marketplace before making a purchase.