I can think of many reasons to start your plants from seed, instead of relying solely on nurseries.
1) It's fun and exciting (yes, it's a thrill when those seeds sprout).
2) You can work on your garden when the earth outdoors is frozen.
3) You end up with multiple plants, enabling you to try them out in different sites when you move them outdoors.
4) Seed is cheap.
5) There are many thousands of seed selections to choose from!
I've had good experience with the alpine plant societies. Checking the websites, I note that the North American Rock Garden Society seed list includes 4614 separate taxa. The Alpine Garden Society is offering 5893 taxa, including 43 members of the genus Draba (an easy-to-grow crucifer that I highly recommend), 70 Frits, and more than 50 gentians. And then there is the wonderful Scottish Rock Garden Society with more than 4000 entries. All seed is donated to the seed-exchanges by members. Most are garden-collected, but some are harvested in the wild. And yes, these European societies do ship to the US.
Another option is to order from commercial providers. I've had fabulous success ordering from Alplains (www.alplains.com). These folk collect their seed in the wilds of the west and southwest (including Mexico). A nice bonus is that they offer short descriptions, hardiness zone information, and clues as to germination requirements.
You can also order from Rocky Mountain Rare Plants (www.rmrp.com) but you only have until Christmas as this will be their last year in business. I'm sure there are others out there, but this is a start.
If you want to start this as a hobby, a couple of good books to keep on the shelf are Norman Deno's "Seed Germination Theory and Practice" and its supplement. In these materials he shares his experience germinating more than 2500 plant taxa. These books aren't available at stores. Try googling his name to locate a source.