The most fun I've had is the year I purchased one of the huge bank bags of foreign coins for my Birthday.
When the Euro became the common currency in Germany, the bank there started selling bags full of foreign and domestic coins to dealers. They weigh in at about twenty two kilos, and there are simply thousands of coins in circulated condition waiting for you to find them. The downside to this is there are often tokens hiding mixed in, and not all the coins are going to be in very good condition.
Generally these bags run about $130, plus shipping. So far,
ebay is the only way I know to get hold of one. I trust the bags more than I do the quarter, half, or pounds weighed out and set aside, because you can bet your Grandma these've been searched for the prime coins already.
Another good way to go is to trade coins with other collectors. This forum has a lot of buying, selling and trading activity going on; the only requirement is that you post 50 posts before you initiate dealings. It's up to the seller if they want to sell to someone with less than 50 posts.
My preferred way of buying new coins for the collection, is to go to the coin store on Saturday morning, and sit there for an hour or three, digging through their bulk bins. The guys there are always really nice, they love to talk (and I love listening to the conversations the other customers have; you can learn a lot.) I know I've spent enough time in the store that they almost always give me a really good deal on a couple of pounds of coins every week.
It's always fun to find a neat coin in your pocketchange, or in the cash register if you're working the other side of it. But the difficult part is you're depending on chance, and it might be weeks or months before you find a new coin to add. I hope that somewhere in all this rambling, I've said something that might be considered useful for you, Arthrene. :)
(P.S. Thanks for that link, GraceOutcast! >.> I just spent too much money on some of the harder to find African countries

It's odd, he's right here in San Antonio. o.o Maybe I can save on shipping.)