Pretty much any collector will tell you that a signed first printing of a book is preferable to one that is unsigned, but not everyone is fortunate enough to live near a bookstore that brings in authors for signings. Luckily, most independent bookstores will work with you if you can't be present for one of their events. And many make it super easy to order signed books online.
I've compiled a short list of places online that I tend to go for signed editions.
Indie Bookstores:
Powell's Bookstore, Portland, OR (affiliate link)
VJ's Books, Tualatin, OR (affiliate link)
Rainy Day Books, Fairway, KS
Book Passage, San Francisco, CA (affiliate link)
Books and Books, Coral Gables, FL
Parnassus Books, Nashville, TN
Quail Ridge Books, Raleigh, NC
Online:
SignedPage.com
Abebooks.com (affiliate link)
Subterranean Press (sci-fi, horror, fantasy limited editions, signed & unsigned)
Centipede Press (signed & unsigned limited editions)
Premierecollectibles.com Note: I've not actually done any business with Premiere Collectibles, but they appear to have a nice selection of titles. Most of the books are stated first editions, although I don't know if this means they're first printings. Signed books come with a certificate of authenticity, which could just be a gimmick, as this practice isn't really regulated. Let me know if you have any experience with them, good or bad.
I tend to shy away from Amazon and eBay for collectibles — both are somewhat of a crapshoot. More often than not, I end up not getting what is described.
And, about those affiliate links:
Listen, I do occasionally use affiliate links on my blog. It doesn't have an effect on your experience (unless you're just morally opposed to the idea). If you click on the links, you're still going to pay whatever the regular (or sale) price is for the product but since I referred you, the bookstores give me a small (and I do mean small) percentage for that referral. It's not a huge sum of money, but it does help me keep my blog going. I usually only approach a bookstore about becoming an affiliate after I've done business with them. Not every link on my blog is an affiliate link, but I do try to send people to bookstores and websites that I like and trust. And hey, If you come across booksellers that you like & trust, let me know so I can share the love.