Most of these are readily available at a good hobby or gaming store. Others are best found at hardware stores (usually cheaper there too); they are noted below. Ive listed specific recommendations for some products, but other brands are acceptable. Ultimately, youll have to find out which brands work to your liking anyway...
Its hard to do a good paint job without prepping the figure right in the first place. Depending on how well cast the miniature is you may have a very easy job, or a grueling task. Generally if you buy figures which are recent releases youll have less mold lines to deal with: the older the casting mold gets, the more mis-matched the two halves of the mold become and the worse the lines on the miniature will be. You may also find flash (excess metal forced from the mold during the casting process); it appears as a flat sheet of metal between appendages, etc.
A word about the differences between lead and pewter miniatures. Lead (actually 'white metal') was the standard form of material used to cast figures until the early '90's, when a supposed health risk prompted US miniature companies to switch to non-lead based formulas, commonly called'pewter'. Nowadays most minis are made using pewter, but you may still find old lead figures in stores or at con swap meets.
Each material has it's pros and cons: lead is easily worked, lines can be cleaned quickly, and parts can be bent into new positions easily, while pewter is much harder, making clean-ups more of an effort and bending limbs pretty difficult to do. However, because of its toughness pewter is much more resistant to accidents and dropping; no more dreaded 'prizefighter's nose' after dropping a figure on the floor!
Consequently, though, pewter metal doesn't fill molds as effectively as lead does: pewter miniatures can have mild to severe pock marks in the casting. These holes can just be filed down if they're in open areas (like a robe edge). Otherwise, you may have to smooth them out with some epoxy putty (see Filling Gaps). Just use a critical eye on the figure you buy to get the best casting possible; it'll save you some elbow-grease down the line!
Also, when filing or cleaning miniatures, I always work above a cardboard box top to catch any filings and wear a dust mask to avoid breathing any in. This applies to both metal types. In addition, lead can be poisonous if eaten so wash your hands thoroughly after prepping lead miniatures!