The last place that I lived had zero retro game stores within two hours, so that wasn't an option while I was closing out the NES set. A lot of people say Facebook is a viable option nowadays, but I try to avoid it if at all possible. Honestly, the only success I've had outside of eBay is here on this site. I've routinely bought and sold stuff here and had a great experience with common and uncommon stuff.
As for the truly rare stuff, I've been successful here with bounties. A couple items I needed had only been on eBay a few times a year, so I put out a bounty at double the going rate. I received a hit and was able to get the items. You have to be willing to spend big bucks to go that route though.