For Colorado Rockies collectibles, the official MLB site has one of the best selections. OnlineSports also has a fair amount of stuff. But online sports stores aren't necessarily the way to go. If you have a little time, I highly recommend eBay. You're likely to find more choices and better prices.
Here are some live eBay auction prices for Colorado Rockies collectibles:
If you're a collector, you definitely need a guide book. You don't want to risk paying way too much for something. Dan Zachofsky's Handbook for Collecting Baseball Memorabilia is a good source for information on baseball autographs and collectibles, especially if you're new to the hobby. (If you collect baseball cards, you want the annual Beckett Baseball Card Price Guide. For the latest updates, you should subscribe to Beckett Baseball Card Monthly magazine.)
By the way, eBay is also your best bet if you're selling Colorado Rockies collectibles. Auctions have always been the best way to get the real value of your items, and now thanks to eBay's active collectibles auctions, it's easy for anyone to auction off their collection. (A mainstream brick-and-mortar auction house will generally only deal with you if you have a large collection or estate to sell. And they'll take a percentage of the total sales, say 10 to 25 percent, for their service.) Click here for eBay, or eBay UK or eBay Canada if that's where you're located.