I bought the red steel kind with the set-screw locking nut. I've bought them at used sporting goods and other fitness stores. I've seen them for anywhere from $1 to $3 each - look around and you'll surely find some cheap ones.
I've also used the spring type collars you describe with a hose clamp to lock them on. I've also used hose clamps alone. They work very well, but are a little tedious to take on and off.
Another cheap and very effective collar is the u-shape clamps you use for muffler/exhaust connections. They're very cheap (less than a buck some places) and actuall lock down tighter and better than a normal collar. I've tested it and found it took 400lbs of plates tipped up on end before the clamp started to slip. So i have never had any worries about using them.
Here's a link to a sample