Well, some of them (at least Series 1 and 2, maybe 3, and then later on 6 and 7 I think) were available at Toys R Us, which is where I got my Kermit, Gonzo, Beaker with Muppet Labs, and Dr. Teeth (amazingly I might add) figures. That's also where I got Johnny in the maroon suit.
Specialty stores such as Tower Records and Suncoast had them, which is where I got figures such as Sam the Eagle as Mr. Samuel Arrow and Beauregard. Video game stores like EB Games also had them, which is where I got my Miss Piggy figures (both the regular and the exclusive).
But I got the rest online, from websites like amazon.com, omgcnfo.com, and ebgames.com.
And don't feel bad, my town has no toy stores or video game stores or anything which means that I either have to drive for half an hour+ or just get stuff like that online.