APMEX is OK. Provident Metals also has a pretty good selection. http://www.providentmetals.com/coins/pre-33-gold.html
I buy at a local coin show. Hint: Cash is king when dealing with something as fungible as gold. They cannot afford to give you a great deal on gold if they have to take a risk on your check.
I bought most of mine from local shops and large coin shows. For me, seeing the coin in hand is a big benefit. I don't like the idea of buying "dates of our choice", sight unseen. Who knows what you will get and how will it look? Is it full of spots, scratched, overgraded? I guess if you just want old gold for close to melt, it doesn't matter. For collectable gold it does.
All of the above are good sources for low grade, common date, low premium pre-33 gold coins. If you seek a good selection of higher premium, "investment grade" or collectible date coins, you'll probably have to look to major dealers or auction houses.
