I imported my own using Jurgen at JM-Imports as an agent. As was said before it was good having the choice of loads of cars and being able to be very picky with the spec. I wanted only a grade 4 car with lowish miles, and stage 1 mods.
There is a risk though, I've had no problems at all but there is sooo much that can go wrong that if I was doing it again i'm not sure if I'd comfortably stump up the cash for the car and shipping etc before ever seeing or test driving it.
At the time I bought mine quality grade 4 type cars were still expensive in the UK. I reckoned at the time of getting it on the road I had probably saved about £3k from what it was worth. There have been so many crap cars brought in now it has lowered the price of them all to the point where you now see a number of good cars selling for bargain prices. I would be lucky to get the same as I paid for mine now, after taking on all of the risk and time spent in importing it. I honestly don't think that the gains are there in importing yourself any more when compared to the risk you have to take on.
Top recommendation from me would be to buy from an enthusiasts forum like this one. You get to form an opinion of the owner, ask around, search peoples posts for problems, find out about any previous owners etc, and of course have a good test drive.
I wouldn't accept an imported car without auction sheet from anyone.
The auction sheet is such an important document on these cars that the only people that lose them have a reason to want to, such as crash damage and disappearing miles.
There are the rare occasions that a car is exported directly from tuners garages etc and did not go through the auctions but the vast majority without auctions sheets have something to hide IMO.
I wouldn't touch most ebay cars with a 10ft barge pole. Again most have no auction sheet and are crap crash damaged / repaired low grade cars with thousands of miles which have dissappeared on the way over.