I hear ya man. I just bought one on eBay (complete, stickers applied, with paperwork and beat-up box). I overpaid, but I haven't seen one in quite some time, so I bit anyways.
Out of curiosity, how much is he going for these days? I'd like to get one too and haven't seen him on e-bay lately to determine the latest value.
eBay really trims the "completed auctions" bad. They want you to pay for their Market Research crap. Using google though, you can find some links to recent ones that haven't expired yet (like google for "site:ebay.com thunderwing", without the quotes, and view cached results). It seems some, some missing a gun or two, went for $75 or so. A complete one went for $95. Those prices are sane, I think. But he really doesn't show up much - and I couldn't find any threads here selling them with a price attached. I don't think people sell much (damn you Furman!). I saw 1 complete at Botcon, for $225. It sold in about 10 minutes. The one I bought, with beat-up box and paperwork, I paid $190 for it. So yeah, I overpaid. I almost almost almost always search for very good deals, and get them, so I allowed myself to splurge a little. It's odd - the one I bought won't show up in completed auctions. I thought store listings still showed.