Welcome to the Dojo, VikingSpawn;
Ha, shaxper was a little faster than me...
Getting the issues all complete might be a little difficult for the Albedo or Critters, where UY was published first (in that order; they both are anthologies, so you'll get some nice stories by other authors as well). These issues pop up on ebay from time to time, but be prepared to pay heavily for Albedo #2, which is the first UY appearance ever; prices range wildly from 550 US$ to excessive 2,000 US$.
UY had his own comic published by Fantagraphics first (for 38 issues) , then changed to Mirage (for another 16 issues), and now has it's home with Dark horse (103 issues and counting).
All these stories (up to issues 89, that is) have been selected in the trade paper backs; the first seven of them published by Fantagraphics, TPB 8 to 21 by Dark Horse (the latter is scheduled for June/July this year). All the trades are reprinted regularly, so just be patient if one or more of them should be out of print.
My first approach was to get the trades, then buying the issues not yet collected, and hunting down the issues backwards; I had the fun of reading the stories in chronological order, caught up with the recent story arc in reasonable time and now I've got the fun of the hunter/gatherer as well....
But that's just me;
For more details about the comics you might want to have a look at the comics section here:
http://usagiyojimbo.com/casl/comics.html
This is still under construction, but contains the basic information about every published UY appearance.
As a matter of fact, I was lucky to get the complete Fantagraphics and Mirage issues from Sensei himself; he said he'll sell them at Conventions, for instance, so if you've got the chance to meet him in persona, he might be able to help you with it...
