Ebay has some. So does Amazon. You kind of have to pop around the web. Actual stores will be more expensive (and dusty).
Here are the harder ones to find in the regular assortments:
Series one:
Bunsen
Dr. Teeth
(hair down exclusive) Miss Piggy
Series two:
Animal Playset
Fozzie Bear
Floyd
Series three:
Tuxedo Rowlf
Zoot
Swedish Chef Playset
Series four:
(fairly easy)
Series five:
Janice (has recently become rare)
Newsman
Series six:
Patrol Fozzie
Statler
Waldorf
Series seven:
Kermit Smollett with Polly
Series eight:
Marvin Suggs
Sam the Eagle
Series nine:
Swedish Chef
Backstage Playset with Rowlf
Exclusives:
Super Grover
Rainbow Connection Kermit with Robin
Jim Henson figure
The easiest ones to find are:
Series one:
(hair up) Piggy
Series two:
Gonzo
Crazy Harry
Series four:
Strangepork
Series six:
Clifford
Swinetrek Playset with First Mate Piggy
Series seven:
Frog Scout Robin
Johnny Fiama
Beauregard
Series eight:
Usher Scooter
Van Neuter
Series nine:
Stepping Out Fozzie
Pops
Exclusives:
Uncle Deadly
Sweetums
All the rest fall somewhere in the middle. Just don't pay too much for the cheaper figures if you want the expensive ones too.
hope this helps