Of course, there are parts that you can compromise on and get a used part, while there are other's that you can't on. For example, transferring a headlight or tail-light from a used car is not a problem in most cases (though it will wear out sooner than a new one). However, transferring an air filter from a used car may be counter-productive since it may already have dust and dirt in it that will harm your car instead of helping it. The same goes for more sophisticated parts such as transmission. A general rule of the thumb is that more the internal and smaller moving components in an auto part, the riskier it is to acquire a used one for replacement.
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Auction and trading sites like eBay are also great places to look, although it's more tedious because you have to inquire and deal with each of the small-time sellers individually. However, you have greater chances of getting the vintage auto parts you need for lower prices because the people there are more eager to sell the item, not make a big profit.