Some of the coins I see on Ebay that are advertised as proof coins make me nervous. I like to authenticate what I am purchasing. I often times will pay a little more at the local coin shop but at least I know what I have in hand when I leave.
I have found that buying the proof set and cracking the case is about the most affordable way to go. Especially if you collect more than just one type. I collect Lincolns and Jeffersons and Soon to start On Ikes and Maybe SBA and The halves haven't decided yet. But as I'll need Atleast 3 proof coins I might as well buy the set and break em up