Ebay has some pretty good deals on them, you just have to watch the price and the add on for shipping. The Disnmey pins I have seen at WDW and elsewhere that sells official merchandise run $6.50 and up, depending on how intricate the pin is. I am currently "stocking up" before my trip in November.
As far as pin trading etiquette goes - I have not done any trading with CMs, as I just found out about the whole deal just before Christmas 2002. I have become "book smart" on it, though, reading everything I can get my hands on. Generally, it seems as if the lanyard is the preferred method of trading with CMs (pins must be displayed on the lanyard), with the trading being initiated by you. I would refer you to officialdisneypintrading.com for more information. They have a guide, as well as a detailed list of what pins are available (both regular and special issue), and they regularly update the site with the new pins when the come out.