Back when I was playing Warhammer Fantasy, my favorite part of the hobby was definitely converting my miniatures. I would spend tons of time cutting and gluing on my miniatures before I would paint them. When me and a couple of buddies went down the the Dallas GT my appearance score was the same as theirs because of the level of conversion work I had done even though they had way better paint jobs.
I would spend tons of time on Games Workshop's site looking up old models and ordering individual bits to get just the look I wanted. It looks like those days are over though. Imagine my disappointment when I got back on Games Workshop's site looking for a specific bit and discovering that they were no longer selling individual bits.
I looked around a bit and saw a posting from them saying that they were restructuring the way they handled individual bits orders. I thought great, improvements are on the way. Soon I will be able to search and browse better than before. It looks like I was wrong.
The 'improvements' have now appeared on Games Workshop's site in the form of Bitz Packs. They have a paltry selection of bits available in different packs. You will get enough pieces to convert about 6 to 8 troops for a bit cheaper than if you ordered the bits the old way. This ends up being a decent deal if you happen to need the exact bits they have up at the moment.
This situation has created a secondary market for bits. There was already a smaller secondary market before this move - you couldn't get individual plastic bits from GW - but it has now grown quite considerably. The most famous of these resellers is Battlewagon Bits. They recently either merged or sold their inventory to thewarstore.com but from what I can tell it remains pretty much the same.
This is an issue that several in the community feel strongly about. There is a pretty good post over at Librarium-Online.com that goes into this subject in detail.