With the addition of a HistoriFigs, F-3, Hero, chain mail and with a long sword, 40mm figure to my collection I thought that I would look into this sized figure. The larger the sized figure, typically the better the detail of the figure. You also have more to hold onto when painting. You can also count on paying more for larger figures, if they are in metal, that is. It does seem that plastic figures are more economical than their metal counterparts. However, although plastic figures have and continue to get better in detail, metal figures usually have better detail than their plastic counterparts.
There are a few suppliers of 40mm miniatures. The A Beginner's Guide to Gaming in 40mm mentions several suppliers of 40mm miniatures. 40mm miniatures will cost you anywhere from $5.00 to $15 U.S.
HistroFigs offers several American Civil War miniatures in 40mm. These will cost you $2.25 per piece, while bags of 6 or 12 figures can be had at discounted prices.
Another source of 40mm miniatures is Knuckleduster, which offers some unique Wild West figures, among others. These look like highly detailed figures. These sell for $12 for a set of three.
By the way, Knuckleduster, maintains a blog that will keep you up to date on their line of products.