(Old OP-centric doujin thread is over here: http://apforums.net/showthread.php?t=13452, but I think it's partially dead.)
Here we can use this thread to talk about doujin circles/artists/events, tips on buying doujins such as where/when/how one can purchase them, translation help for looking up certain books, proxy orders, etc.
Nowadays, most doujin artist post their upcoming works on Pixiv so it's easy to find when their newest works will be released. An English vers of Pixiv exists, but a basic understanding of Japanese is highly recommended if you want to search using their tags. As long as you know how to read characters names and understand the name orders of the character pairing(CP), searching should be okay.
Since doujins that people look for tend to contain smutty scenes, I think that we should have NSFW warnings whenever posting links to Pixiv entries/doujins on online shopping sites. <–-What's the best way to deal with this?
Where to buy doujins in Japan:
If you want the latest releases, you can usually get them at comic events such as Comiket, Supercomic City(run by Akaboo), Series-Only Events(by YouYou). Next would be at Toranoana, K-Books, or Animate, depending on which company the artist decides to cosign their books at. The size of the book, # of pages, popularity of the artist, influences the price of the doujinshis.
If you're looking for used/2nd-hand copies, Toranoana, K-Books, Mandarake, and Lashinban are the go-to places, especially in Akihabara and Ikebukuro(Female-centric). Depending on the book, prices can range from 100yen to 7500yen.
Outside of Japan:
Ebay, Yahoo!Auctions, Otaku Republic, etc… Prices tend to be a little bit expensive compared to the book's original price, but in total it could be cheaper than flying to Japan.
Online Scans:
Online scans/raws of doujins can be found throughout various LJ communities, but MyReadingManga (NSFW SITE) is the newest one that is essentially re-uploading every possible scanlations released by public/private LJ groups (ignoring the rules that some groups have stated).
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To start things off, I currently have a large collection of OP anthology books, reprints, and single doujinshis w/ 3 from a Taiwanese artist. Next on the list would be JoJo's Bizarre Adventure, Fate/Zero or StayNight, and a few from Tiger & Bunny. It REALLY hurts you wallet if you're into collecting doujins from several series, because you find all these cool artist and interesting doujins that you really wanna have but can't because of money/availability. In terms of Japanese Comic Markets, I've been to 2 so far, starting with the small series-only events. It's an amazing experience communicating w/ the artists themselves and asking for sketches too (in somewhat understandable not-too-broken Japanese ).
(I feel like we can sort of squeeze fancomics in here too...but I don't know if there is already a thread for that on the forums.)