Update Summer 2023
Vidiyo sets have very good minis, and are quite cheap. The Series 1 collection is currently cheaper per mini than the Fantasy Minifigure Set, and the Punk Pirate Ship is a good magical boat and fantasy minis. Some of the beatboxes are in the same price range as a collectible mini, and have parts be used to make a dungeon room.
Hidden Side is also very cheap; see my 2019 and 2020 recommendations for what to get and how to use them.
Many older Friends sets are much cheaper than retail, and are a very cost-effective way to make terrain and towns. Bricklink does not have them by subtheme, so I am linking to Brickset for the themes, but I do not recommend going to that site unless you have an adblocker; it is awful. The Jungle Rescue, Great Outdoors, and Horseback Riding subthemes are the most useful. Right now, Jungle Falls Rescue, Jungle Rescue Base, and a Hot Air Balloon are 50% of retail or less. A rock face with waterfall is always useful, the kind of thing you pull out in many games, especially when the waterfall slides back to reveal a cave.
Similarly, a lot of basic Town sets are cheap. Many of the Starter Sets cost less than $2 per mini, and also come with useful terrain.
Nexo Knights are not as cheap, but many are less than retail, and some are at clearance-price levels. It takes a bit of work up incorporate them, but they have useful and unique parts.
ChimaChima sets were a gold mine of excellent humanoid minifigs. They had bird people, reptile people, wolf people, etc. etc. I got a lot of them, often on clearance, and the minifigs have been a staple of my NPC tackle box ever since. All of the molded creature heads can be removed to reveal printed heads that you can customize with helmets or hair so they look less cartoony. The only problem is that the faces are all double-printed, so you have to Brasso off one of the sides if you want to use them with hats or hairpieces that do not fully cover the back.
Here are some of the better ones, available for the original retail price, or less, after shipping:
Spinlyn's Cavern is an excellent adventure location with unique minis.
Stock up on lizardmen (or kobolds if you give them short feet) with the Crocodile Tribe Pack.
Ice Mammoth is a bargain, much cheaper than the original price, and can be a great adventure if you put a little work into it.
The Gorilla Striker is also much cheaper than new.
Prince of Persia sets are useful and cheap. The Quest Against Time set is an especially good deal and makes a good adventure location.
Ultra Agents is cheap forgotten theme with a lot of parts and people that fit very well into a campaign with magitech or a magepunk aesthetic.
Galaxy Squad has lots of small and large insectile critters: