Hey, I've been looking around for places to buy alternative miniatures to the GW ones. Many people probably know a lot of other sites, so you can add them to my list, but here's what I've found so far:

Avatars of War - These are pretty popular. Anyone who frequents CollminiOrNot.com will recognize some of these.

ReaperMini - I'm pretty sure everyone knows about this one, but I thought I'd add it just in case you haven't.

Black Tree Design - I'm pretty sure these were produced as a substitute to normal GW minis. The site doesn't display them very well, but I've heard good things about them.

Privateer Press - This looks pretty interesting.

Hell Dorado - Brush up your French if you plan on ordering anything from here. Personally, I love these models!

Crocodile Games - A lot of people are familiar with this as well. I've seen some of their models on this forum before.

Dark Slave Miniatures - 32mm scale. One or two models may pique your interest.

Alkemy Miniatures - I'm not sure the scale of these, but they look about right.

Anima Tactics (couldn't find the official site) - Not a whole lot that is actually useful, especially to Lizardmen, but there's some models with potential for Elven armies

Fenryll Miniatures - Some of these are really goofy, but some others are really cool looking! Also in 28mm scale.

AT-43 - Useless unless you're a 40K player, but there's some really amazing models and a lot of people haven't heard of this, so I thought I'd throw it in.

Darkson Designs - Again, only really helpful if you're a 40K player, but there's some neat stuff if you are. Not sure what scale they are, but I'm guessing somewhere in the 28-33mm range.

Andrea Miniatures - a lot of models are too big (54mm scale), but some are only slightly larger than Warhammer models (32mm scale).

Confrontation - Some pretty cool stuff here, too. Plus, it's in the proper 28mm Warhammer scale!

Dark Age - More cool stuff at the proper scale here

Enigma Miniatures - Only look at the Massive Darkness range of miniatures, as they are the only ones small enough.

Anyways, these are just a couple of the sites I found today (I was bored, can you tell?). If you're really interested in finding more sites, there's millions more! Feel free to post any that you have found!

Some notes: A lot of the minis from the sites listed above won't fit on GW bases, or form perfect ranks.
GW will not let you use any non-GW models, so you're pretty much restricted to using them for friendly battles.