Visit your local comic book store. Not only will they have a number of different older and rare issues kept behind the counter for customers to buy, but if the comic that you're looking for isn't as popular as some of the "big titles" then you might be able to find rare issues in their boxes of back issues. If you do find issues that you're looking for in the back issues then you'll probably save quite a bit over what you might pay elsewhere.
If you can't find what you're looking for at the local comic store, head online. In addition to online auction sites where you might be able to find a deal on rare issues, you should be able to find a number of websites that have a number of different comics for sale at set prices. Just be sure to shop around at different sites before you buy in order to get the best price.
Visiting auctions can be a great way to get rare comic books for cheap, provided there are any comics up for bid in the auction. Unless the auction in question has been advertised as having certain rare comic books up for bid, it's likely that there won't be too many people there who are interested in bidding on individual comics or comic book collections. This doesn't mean that you'll be the only bidder, of course, but you might not have to bid as high as you would at an auction full of collectors.
Should you still be looking for rare comic books, you might try looking at flea markets and comic conventions. Just keep in mind that the price you'll have to pay may be significantly higher this way than it would have been if you had found your comics through other means.