I have developed my collection from a variety of sources. Each of them have their advantages and disadvantages. I've listed them below with what I see are their major advantages/disadvantages.

1. - Seed - Very inexpensive to get many new and different trees / Takes a long time to develop into bonsai. (check search engines for seed companies)

2. - Cuttings - Very easy to do / Need source of cuttings and takes a few years to develop into bonsai. Not all trees are easy to take cuttings from.

3. - Airlayers - Easy to do and develop nice, thick trunk bonsai quickly / Need stock trees, some equipment and need to learn techniques.

4. - Nursery stock - Can create a fairly nice bonsai almost immediately at a reasonable cost / Long time searching nursery for suitable trees required, root systems are usually not ideal. Can be expensive

5. - Collected trees - Top notch bonsai material, can be worked on quickly, yield far superior bonsai to other sources / Long time searching for suitable trees in field or very expensive if purchased. Trees can easily be lost if not knowledgeable and careful.

6. - Purchased finished bonsai - Immediate bonsai to start enjoying / Miss all the fun of growing/developing/styling yourself. Can be very expensive.

I have trees from all these sources (except #6) and I think it's a good idea to try them all. I would start in this order:
1 - Nursery stock
2 - Cuttings/Seed
3 - Airlayers
4 - Collected material

Starting with Nursery stock gets you going with a few trees right away. While you are enjoying styling, pruning, wiring and learning about them, you can start some cuttings and seedlings. Learn how trees grow and develop. After you have over 100 cuttings/seedlings in little pots, cull out the good ones and sell/give away the rest. Read up and try your hand at Airlayering. One success, and it's easy to be successful, and you will have much more knowledge and confidence about growing trees. Finally, when you feel confident enough and have experienced bonsai friends to support you, try collecting or buying a collected tree. Great stuff. If you are too lazy to try these steps, go to 6 above.