kind of a loaded question, haha.
Is there anything in particular you'd like to know? I can only answer based off of personal experience and speculation.
Busou Shinki is a franchise that possibly started with the articulated figures that it seems you've been looking at. In terms of what its about, the anime is probably a good explanation of that. Or if you're familiar with an old anime called Angelic Layer, story universe/concept wise like that.
In terms of the articulated figures, the wiki has a good list of what has been released: https://en.wikipedia.org/wiki/Busou_Shinki
To attempt a summary...the figures have been released in waves. Generally themed somehow. There's a base figure, then accessories. "Standard" waves have quite a lot, while Light Armour sets not as much. Also reflected in cost. All the accessories are interchangeable between figures (IN GENERAL, as there was an update to the figures somewhere along the line), so you can mix and match and customize once you have a standard or light armour set and get more. EX sets are like accessories only, so you should have a standard set, light armour or "naked" figure. Naked figures are the Shinki's without clothes, painted face or accessories. Now, if you're trying to match or replace parts with one of the standard wave or light armour sets that's where you have to be mindful of skin tones. Also, if you are customizing and have something particular in mind.
If you're looking specifically for Busou Shinki figures, they are the ones by Konami. Upon a quick search on Amazon, it looks like some Armor Girls showed up. They look nice (don't know what they're like personally) but they are a different figure line by Bandai.
As to where to buy, there's the "where to buy" thread on here. Ebay is usually really bad in that they are really expensive. Considering the availability of figures though, that's something you're gonna end up facing depending on which Shinki you're looking for.
Yahoo auctions Japan is a good place, but you should have a proxy of some sort to purchase through. Either that, or if you know someone in Japan...which is still technically a proxy, ehe. I think this is the search for Busou Shinki in order of most expensive to least. Garage kits and clothing will also show up though:http://auctions.search.yahoo.co.jp/sear ... e&auccat=0
And here is another place. Haven't ordered from here personally, but I think others here have recommended them:http://ekizo.mandarake.co.jp/shop/en/se ... sou+shinki
Its probably worth checking the Japanese version of Mandarake as well though.
If there's a figure you're wondering about, you could probably ask here. As long is its listed in that wiki page, you shouldn't have to worry about getting something wrong.........probably.
Hope that helps.