For Japanese eroges, I buy a lot of VNs, which are classified as eroges. In any case, getchu's a good place to look for to start, since it's rather huge. For translated eroges, JAST USA's got a pretty large variety of sexually-oriented VNs. But if you're looking for Japanese stuff, tough luck being able to get it from your home country. They definitely aren't coming through retail- remember Princess Maker 2, everyone? And you need to get it through the internet, which I usually find to be rather pricey. That and you would probably want translation.
For the English ones... well, first of all, since they don't seem to be allowed in you country, I'm assuming you're living somewhere in Australia- though I don't think they've banned them outright... or maybe somewhere like the Middle East, but not going to poke there. In any case, the first step, if it's not allowed in retail, would be to purchase it through shipping with the Internet. If such an action is not possible, there are quite a few sites that allow you to directly download from them, you can always check there. And then of course, there's always the... "other" way, the illegal one.
In any case, regarding the OP's question, there isn't much difference from the ones from the web and the disc you buy from the store. Other than the fact that one's legal and the other isn't; which *should* weigh on your conscience heavily. If you're talking about freeware games on the web, then the quality difference would be obvious. I mean, you can't really compare say Lusty Ladies Club to something like, what, a flash game on the web (which doesn't even have original pictures most of the time). Even if there is an actual freeware game on the web, it's likely going to be not as of high quality as commercial ones.
