Skirmish games are where most of the rest of the market is.
The initial start-up costs of producing plastic figures are prohibitive for all but the biggest companies; producing a mould for decent plastic figures is a process with a lot more stages and difficulty than doing so for metal figures. This means most smaller outfits rely on skirmish scale stuff as you can sell enough models for a game without stripping the lead off every church roof in western Europe to do so.
For a full scale wargame, Warhammer is the best rules system. Unless you're regularly going to be playing at Games Workshop clubs and events, the models are quite overpriced though, so shop around. As noted above, metal is more common for small retailers than plastic, so (for example) plastic Dark Elves you'll find it hard to get non-GW ones (though EBay is always hugely useful here in getting them cheap). For your heroes etc, there will be a decent number of alternatives out there.