I would definitely suggest checking your local Craigslist. You can get great deals off of there. Try to avoid ordering anything online, as shipping will be very expensive. You can sometimes find good deals at your local GoodWill, Salvation Army, or Play-it-Again sports. Sporting goods stores like Academy, Sports Authority, and Dicks tend to retail weight plates at about $1/pound for standard 1" plates and around $2/pound for Olympic 2" weights. A 300 pound Olympic weight set (comes with a 7", 45-lb Olympic bar + 255 pounds of weight plates) typically retails for about $150. If you're located in the Austin, TX area, I'm actually selling some extra weight sets that I have; send me an email if you're intersted. I have the exact weight set that Cathe uses in Pyramid Upper Body and other DVDs, as well as a standard weight set + 2 benches. I have a garage gym, and these items are now taking up space.
At any rate, hope this helps.
Take care,
Fitgirl-ATX