When I had a puppet building shop we occasionally put puppets up on ebay but found we rarely got what they were worth. The ebay market seems geared towards collectible puppets (like Pelhams or puppets from movies & TV shows), puppets by notable builders (like Terry Angus) or cheap Muppet-style puppets that go for about $30.
I'd guess that the craft show fair would be a good way to start. You could start out with Church/school craft sales and eventually work your way up to big shows like The One of a Kind in Chicago/Toronto/Montreal or even trade shows for buyers for gift/specialty shops. Once you're comfortable with the work you're producing you can try getting an article in a local newspaper or maybe appear on a cable access show to promote your work. I think a professional-looking web site with your own domain name (not a Geocities site) helps a lot. Google's
Ad Word service is really great for Internet advertising. There's a good book written for self-publishers called
Jump Start Your Book Sales that has lots of good publicity/marketing ideas you could easily adapt to puppets.
You should talk to Michelle from
Puppet Planet - she started a business like this up recently and seems to have done really well so far through word of mouth.
Judy Folkmanis (of Folkmanis Puppets fame) started out selling her "Furry Folk" puppets on the streets of Berkeley in the 70s and now has a big company that sells puppets all over the world so anything is possible!