I like to try free designs from some of the web sites already mentioned. For purchase, I have quite a few from Anita Gooddesign. They stitch out well and there are quite a few large designs.
http://www.anitagoodesignonline.com/
I also like OESD. They sell single designs or collections.
http://www.embroideryonline.com/products/index.aspx
I try to look for sales. They can be so expensive.
Sew for Less has some good sales.
http://www.sewforless.com/
Good luck. It is so much fun.