I've been growing bonsai's for a few years now. As for buying seeds from a store or online, just don't do it, it won't work. My advice is to buy just about any bonsai book you can get your hands on and learn from them( Colin Lewis and Dave Joyce have a few good books).
I really wouldn't buy anything at a store labeled or sold as a bonsai either, you'll buy them and they will look good to you then, but in a few years you'll wonder why you ever bought them.
Usually i just go into the woods and find a few seedlings or older plants that look good (the ideal tree has a thick, sturdy trunk, flexible branches, and medium to small leaves). After I find what i want I dig around the roots and pull it up. I then remove about 1/2- 2/3 of the roots including the taproot. It's usually better to plant it in a growing bed or large pot for a few years to let it thicken up before you put it into a bonsai pot. If you want to grow bonsai's inside I would suggest a small leaved Ficus, Chinese Elm, or Saggiteria. Outdoors I would suggest Japenese or Trident Maple, Hornbeam, Beech and Hawthorne. Going back to the idea of having small leaves, something in the line of a Sugar Maple or Tulip tree wouldn't work.
Since you're just starting out I would just expiriment around. Don't buy anything expensive that you wouldn't want to kill. I would just buy a bush or something from a garden center, trim it up, try shaping with wire, root pruning, grafting, air layering, leaf size reduction etc.