Where are you located? Probably the best start on caviars would be a Russian market if there's one at all nearby.
Caviar is a specialy import thing. Caviar importers often carry a range of other high-priced items like truffles. There are some unscrupulous people in the trade and you don't want to go into buying large amounts of expensive eggs without knowing something about the trader from whom you're buying.
Fresh salmon caviar, which is moist and loose, not gooey or at all dry, is probably one of the easiest. Best source -- Russian or Eastern European market. You can see what it looks like and if it's fresh enough. Most of the good stuff is from Canada.
Mentaiko is spicy codish roe -- very popular in Japan and Korea. I like it.
Domestic sturgeon and paddlefish are very good, and as close to the good Russians and Iranians as you can get without spending the big bucks. Here's where the Russian and ethnic markets fail. They don't offer much along the line. High end liquor stores often carry caviar and other gourmet items as second lines; or you'll have to find a specialty caviar dealer -- probably where the liquor store gets all it's gourmet stuff, too.
For quality imported sturgeon eggs, probably (surrprise) a good Russian market, or a caviar supplier of good reputation. Personally, I don't do imported sturgeon eggs because there's so much pressure on the species.
You can get whitefish and lumpfish "caviars" at some supermarkets -- it's often available in a choice of black and gold. Stay away from the black, it's dyed and the dye will run. The gold is the natural color. Supermarket salmon caviar, in the glass jar, on the "gourmet" aisle, is typically very dry and salty. Maybe a little bit better than having black dye run into the sourcream. Use only when dyed or nothing else is available.