I suggest that you buy the history of the Triple Crown (Top belt in All Japan) and the History of the IWGP Heavyweight chanpionship (top title in New Japan).
This will give you a good start. You'll see which wrestlers have been a part of these 2 main federations... Guys like Jumbo Tsuruta, Stan Hansen, Vader, Keiji Mutoh, Shinya Hashimoto, Masahiro Chono, Tatsumi Fujinami, Riki Choshu, Toshiaki Kawada, Kenta Kobashi, Mitsuhamu Misawa, and more...
After that, you can decide to follow someone's career (I like Kobashi, so I bought a 5 tape 27 hours series on his best matches) or look at other promotions (like NOAH, Zero One) or keep looking at new things like follow the Juniors (New Japan always has a fantastic Junior division) or High Flying action (Toryu-Mon, Michinoku Pro)
Most sites will sell you tapes 15, 20, or 25 US$ each. Compilations will be up to 60 or 80 US$.
Thanks a lot for the help, but I was hoping for some UK based sites/addreses (should've made that clear, really). I'll bear in mind everything you've said, though.
I understood, but you should really just go to the best sellers rather than only near your home... It might be a bit more pricy...
Good sites:
Highspots (for regular events)
Goldenboy Tapes (for compilations)
RF Video (expensive, but some rare good tapes)
Ichiban Puroresu (for regular events)
Japan Tapes (in canada, but good price for multi tape deals)
To me, the best guy for all of your puro needs is Lynch. He has the best selection, the best quality, the best service, and reasonable prices. What more can you ask for?