Most of the advice on this page is stuff I learned the hard way, from my first dabblings into renting Hong Kong films at the local Hollywood Video through today. While the market for these films has been expanding in recent years, getting "the goods" in good condition, and at good prices, can be tricky. So here's some pointers to hopefully save you some time, money, and aggravation.
Unless you've got a damn fine rental chain like TLA near you--a place that specializes in foreign/art films--don't bother trying to rent these films from your local video rental store. The copies they'll have are generally badly dubbed in English, edited for content, and pan-and-scanned (which is simply unbearable to watch for most great HK action/martial arts films.) Yeah I know, lots of folks don't like reading subtitles. But really, once you get into the genre, you will see how much the bad dubbing can diminish the impact of a film. Occasionally the U.S. distributors do good--Columbia's DVD release of Jackie Chan's "Miracles", for instance--but most of the time even on the DVDs you can't get the original language and music score as an option.
Sometimes at the rental chains you'll find old Tai Seng import videos, which at first look okay but the thing to realize is that these tapes were not really meant for non-Cantonese and/or Mandarin-speaking audiences. They have been pan-and-scanned and cropped without regard to the location of the subtitles, which therefore often run right off the screen (if they are visible at all.) Tai Seng's later, widescreen video releases are okay, and I have had good luck renting many of these from my local TLA. Still, the selection is likely to be limited to the most popular titles like Jackie Chan and John Woo films. Not a bad place to start, certainly, but after a while you'll be hungry to find more options.
If you have a DVD player and aren't ready to start buying films sight unseen, I strongly recommend giving netflix a try. It's a mail-based DVD rental operation that is quite reliable and efficient, and they have a solid collection of Hong Kong films available. You won't find the more obscure stuff there, but most of the popular "must see" films are there, particularly in the action/martial arts genres. I saw my first Stephen Chow films thanks to netflix, and they do have a smattering of other comedies (as well as some of the erotic Category III stuff--not a favorite of mine but they do make for the occasionally amusing rental). My only qualm with them is sometimes you don't quite get the version of the film you were expecting as they do carry English-dubbed/US-versions of certain films along with the HK imports.
If you're lucky enough to live in or near New York City or San Francisco, these cities' Chinatown sections are as good of a place as any to go once you're ready to start buying films. Just put on a good pair of walking shoes and wander, and keep your eyes open for any business with movie posters plastered in every window and/or advertising DVD's and VCD's for sale. Don't blow your budget in the first place you walk into, however--that VCD you pick up for $8 in one store may be under $5 at the next, so spend some time shopping around for bargains and the best selections.
The downside of this kind of browsing is that VCD labels can be deceiving. Not all are marked clearly as to whether there are English subtitles or not--some that say they do, don't, and some that don't say anything, do. So don't get too disappointed if you end up with a couple unsubtitled discs when you get home (just stick them up on ebay or watch them anyway for the eye candy...) DVD buying is usually a lot simpler, both in person or over the net; almost invariably there will be English subtitles, and the only question is whether they are removable or burned on to the picture. Be wary of buying videotapes, as most of what I've seen in Chinatown shops are bootlegs off DVD.
I can't speak for Chinatown buying in other cities, though I would be cautious in the smaller ones as the prices aren't likely to be that good. For instance, Philadelphia's Chinatown is fairly small, and while there are a few places with decent VCD and DVD selections, you'll pay as much for a VCD here ($9-15) as you should pay for a Hong Kong DVD on-line (and the DVDs here cost $20-35). Generally avoid buying Hong Kong DVDs in large chains like Tower, HMV, or Suncoast, if you find them there, because the prices will be at least $10 more than you should pay for them simply because they're labeled "imports". I've seen some really outrageously overpriced stuff certainly designed to catch the uneducated buyer ("God of Cookery" DVD for $50, anyone?) Most Hong Kong DVDs should never cost more than $25, and generally I rarely spend more than $15 on a disc.
When it comes down to it, for most folks the internet is the best way to go to purchase these films. There are a number of good businesses on-line with far more extensive collections than you'll find in most Chinatown shops, and at very comparable prices. yesasia.com is usually my first stop when I'm looking for something. Searching for films and stars is relatively simple, the descriptions of the discs are good, and the prices reasonable if not bargain. You can also use the site to buy soundtrack CDs and start exploring the musical careers of some of these films' big stars like Leon Lai, Leslie Cheung, and Jacky Chan!
If you're looking for bargains or out-of-print titles, then ebay is the way to go. Sometimes you can get new DVDs from Hong Kong sellers for under $10, but the trade-off is the slower transaction time and the fact that many of these sellers will only take cash/international money orders for payment. Still, I have had very few problems and if you win a bunch of discs from a single seller all at once, you can get a great deal even with shipping.
Want more specific information on the discs you're considering buying? Sign up for one of several Hong Kong film discussion lists; Kung Fu Super Stars is a favorite of mine. There are lots of folks there who will be likely to answer your questions about this or that film, or point you to more information about them.
The above advice is really only applicable to more modern films--primarily from the '80s onward. If you're looking for earlier martial arts movies like the Shaw Brothers stuff, your life is going to be a lot harder and more frustrating. Currently most of these films are only available as bootlegs of varying (mostly poor) quality. If you wander through a Chinatown, you'll probably be able to pick up some old stuff on video for $7-15/tape. Be wary of films that go under a whole variety of different names. News and rumors keep floating about that many of these films may finally see official DVD and/or VCD release in the near future, but until then, the bootlegs are about your only choice if you want to experience these movies. Also many mailing list moderators are very sensitive to discussing bootlegs on-list, so going on kfss about the stash of Shaw Brothers stuff you just bought in Chinatown or offering to make copies for folks is a quick way to get kicked off the list.