Yep, that's what I thought this thread would be about.
HPDJ, if you have any specific questions feel free to contact me and we can talk via PM or E-mail, or in this thread.
First things first, be sure to watch for the release of Sesame Street Series 1 later this fall. Your call if you wanna get in on this too, but it'd be easier with SS, since it'll be starting from S1.
As for Muppets...
If you want Kermit and Piggy, I'd advise you to go to your local Toys R' Us, they might have some S1 and not sure if they'd have some S2 stock still available there. From S1 you can get Kermit and Piggy, and Fozzie from S2.
The problem with the S1 Piggy is that she doesn't have textured skin, her hair is too bright yellow, the hair's in an upturned bun, and her body is a bit svelter than you might remember. However, if you happen to get an Electronics Boutique exclusive S1 Miss Piggy (blue dress) then you'd have a slightly better-looking Piggy. Then, you can just simply switch the figures heads and end up with the long-haired figure's head on the purple dressed body and make her look much more like how Miss Piggy should.
Then again, if you want to avoid all that, I'd advise you to hunt down the Pigs In Space playset that comes with First Mate Miss Piggy.
For Fozzie, you can hunt around for any of the variants like Vacation (2 colored shirt variants in blue and/or red), Patrol Bear or Steppin' Out. The Steppin' Out Fozzie figure isn't all that bad, just that his hat has to fit inbetween his ears. And besides, he comes with a cool pack-in figure of Chucky, his ventriloquist dummy from the Edgar Berghan TMS episode.
For Gonzo, you could try searching for the S5 classic version with Camilla, or get the Steppin' Out version with Bernice.
The thing is, once you get one of the Steppin' Out figures I'd think you might want to have a full subset.
For Rowlf, you could try hunting down the S3 Tux version (the term "Steppin' Out" wasn't used till the Bunsen & Beaker 2-Pack exclusive). Or you might wanna get the Backstage playset with classic Rowlf. For that, you'll have to go to online retailers like killertoys.com or omgcnfo.com
As for exclusives, there's a ton of 'em both regular retailer and industry exclusives.
To get some of the regular retailer exclusives you'll have to look around your local stores.
For special convention-only exclusives, your best bet would be either eBay or joining the Palisades Collector's Club.
Then again, you might wanna check eBay for the figures you want to start your collection with, or post "Lookin' For..." threads in the Buy/Sell/Trade sections of the forums here at MC and/or Palisades Toys.
Hope this helps and have a good weekend.