Okay, so you've fallen in love with lolita clothes and you want to start dressing in it...
Hellolace and Lolibrary are your best friends! They are catalogs of brands and clothes. This will give you an idea of what style/brand you like and the retail cost of dresses you like.
Hellolace has a Shopping/How/Where to buy guide including Second-hand and which stores do international shipping. EGL Community can help with some questions but be sure to browse the archives first, many of the questions you have can be answered there!
I buy second-hand since it's the cheapest way to get my favorite brands. Here's the list of sites I regularly check.
Second-hand shops that ship from Japan, these all DO NOT require a shopping service to the US
Alice + Fururun
Closet Child (navigate in English)
Tokyo Alice (you have to email to buy from them)
For looking at foreign sites get Google Chrome and it'll translate the site to your native language.
EGL Community Sales this is to buy second-hand from private sellers. You will need to have an EGL Feedback page before you start buying or selling. Whether you are buying or selling, check the user's feedback! If there is negative or neutral feedback scroll through so you can figure out why, it may be that they are not very good with payment plans then avoid payment plans with that user. Remember to read a sales post completely if there are any damages or stains, the environment it is coming from (such as a smoker) so that you won't be caught with any surprises if you buy from them. There is always risk to buying from a private seller, so avoid gift payments and make sure that they send with tracking.
For cheap lolita clothing:
Bodyline relatively good quality for the price, check the photos for details to avoid dresses made with bad lace or fabric quality.
I would also recommend Taobao shops but I have yet to make an order yet.
For lolita wigs:
The best: Cyperous ($30 shipping charge for any amount) and Prisila (requires SS)
The reasonable price and quality: Gothic Lolita Wigs (free shipping w/in US), Lockshop (expensive shipping outside of Europe)
The cheap: eBay
Daily_Lolita: lolitas posting their coords, you can recieve compliments and helpful critiques