Ebay's your best bet for anything along the lines of posters or figures (or anything of a limited production run like the weekly magazines) -- though the only figures you're likely to find come in the limited edition boxes (I doubt anyone would be sellling them seperatly and the boxes cost about $150-200 each). Your other option for figures would be Yahoo Japan Auctions through a courier/bidding company (you'd be looking for unofficial garadge kits, and you'll probably only find KOS-MOS ones).
Rinkya is the only company I can name off the top of my head that does this (I know there are others though). I've never delt with them personally but I've seen them recomended before -- you should also know that these courier/bidding companies charge you for the service and sometimes it can get pretty steep.
For things more like artbooks, the comic anthologies, the ODM, or even some magazines I'd try anime and/or videogame related online stores. I can recomend a few places to start:
http://www.akadotretail.com/http://www.sasugabooks.comhttp://www.animenation.com (they don't carry much XS stuff; however, if you can find some information on the piece of merchandise you want they'll try to get it for you at no extra charge)
If you're looking for import games (I know you didn't ask about it, but for the sake of completeness I might as well mention it) there are a few sites that specalize in import games and consoles. I use
http://www.play-asia.com but I've heard that they have the tendency to price things a little higher than nessicary sometimes (I got totally ripped of when I bought the episode 2 ltd box, the day it came out I got an e-mail saying that the supply was less than they had thought so they're charging everyone who preordered like $50 more, wanting the box anyway I opted to pay the extra fee
and now they've still got the ltd boxes in stock selling at $300 -- moral of the story: buy it on ebay -- though I should admit that for regular stuff they've been pretty good ). And then again eBay's a pretty good bet. I've heard good things about http://ncsx.com/ too but, again, I've never used them personally.
As for Xenogears stuff, just about anywhere that you find Xenosaga stuff you'll probably find Xenogears stuff (frequently they're lumped together under one name or the other).