LEGO isn't just a great toy for kids of all ages -- those bricks have lots of other productive uses. If you're looking for just a few pieces or a complete set, BrickLink's the place to buy or sell LEGO pieces.
Through BrickLink you can buy bricks, minifigs and sets. It has a marketplace for buying and selling and a nice "wanted" section if you can't find what you want. If you've lost a key piece to a set, the site will help you find it. The catalogue also has an unofficial pricing guide.