Okay, first off, you do not need to buy cases of Heroclix if you are exclusively a player. Cases are fun to open, etc, etc, but do not do the players much of a service as far as usefullness of the figures you receive is concerned. You end up with a lot of figures you will never use (the average Heroclix player/collector ends up only using about 10% of their figures in teams). Advance viewing of the figures through the Wizkids website (or other site listings) gives you the means to determine what you need, which you can follow up with purchasing single figures later.

Buying Singles: The singles market is just like any market. There are hot ticket items, buying trends, and set expirations to consider when you choose which figures you want to own. When a set first releases, the figures will typically be at an inflated price. A cooldown period of about 3 months will usually be enough time to make sure you don't pay too much for a figure. The only time this wouldn't apply is if there's a figure that the player populace hasn't found a way to abuse its abilities, resulting in a delayed price hike. Base sets expire after 3 years and expansion sets expire after 2. Since you don't actually want to own a ton of useless figures, try make sure figures you want to buy are in the active sets.