Today it is actually impossible to assemble a complete set of Lincoln cents (1909 to 2006) by searching through rolls of coins.  So, the usual is to look to eBay and other auction sites for such items.

Scams abound!  One is to not have any photos or the coin or to show but one side of a rare coin, and if you do not ask any questions about the other side, what you receive may not be what you expect.  Damage, corrosion and other problems may be there. 

Another common problem is that a seller with only a handful of ratings is selling very rare coins.  This should set your alarm bells to ringing, especially when you notice the seller is either outside the USA or has no reserve, or a very low reserve on the coin.  Rarely do these type of items allow you to pay via PayPal, they want a certified check or money order. 

Coin forgeries, making a rare coin from a common one has become more and more sophisticated today.  So, while you may not like or even want a coin in a third party slab, when considering a bid on a rare coin, also consider bidding on only coins with a third party slab and NOW, the kicker - only from one of the top third party grading firms!  There are firms placing junk coins in slabs and grading them in the upper to perfect number group.  BE warned, if it looks like too good a deal - IT IS too good to be true.

A working relationship with a local coin dealer, or even better, a local coin club will pay dividend after dividend over time.

Good luck and great collecting, remembering a good collection is created one coin at a time.