I often yack online to the two people who run the seahorse place in South Australia and they know their stuff. They also come highly recommended by many people I have spoken to. What species are you thinking about just out of curiosity? The ones you saw in pet stores are probably southern knights (also known as pot bellies - The scientific name is H. Abdominalis). These are a large, coldwater seahorse and need a fair bit of room. Being in a warmer climate you may also need a chiller for these guys as they need their water to be around 19c. I would probably steer more towards subtropical or tropical seahorses of a medium size, this will make things a bit easier, both in terms of care as well as price (as chillers can be rather dear and a bigger tank is needed for pot bellies). Barbouri, Kuda or Whitei would be good options. Whitei is a medium subtropical species which prefers temps around 22c (they do tolerate cooler and warmer water but this is a good average) while kudas and barbs are medium horses who prefer tropical temps of around 25c. SA seahorses sell all three species, depending on availability.
With some time spent researching, captive bred seahorses can be kept quite successfully by beginners. The important thing is to devote your time to learning, and then, upon purchase, to the seahorses themselves. CBs are very hardy compared to WC and readily accept frozen mysis (preferably enriched) as a staple diet with an occasional treat of live foods. The ones Tracy and David (the people who run the place in SA) sell most certainly accept frozen mysis.
As for price, contrary to popular belief, an average seahorse tank is comparable to an average marine tank and can even be cheaper in some cases when considering things like less powerful powerheads being needed due to lower flow, etc. I know I mentioned a chiller above but this is only for temperate species and any temperate marine species would require this in a hot climate as well so it's hardly a norm for seahorses (or marine keeping for that matter) as a whole. Just thought I'd add that before anybody wants to jump on me about it and say "uh huh! see? Seahorses need heaps of money to keep compared to other marine fish", etc.
All in all though, if you do your research and order from SA seahorse marine services then you are halfway to having a successful seahorse tank. These guys are some of the world's leading authorities on captive bred seahorses and even have a forum which they frequent very regularly (daily most of the time) to answer questions, etc. David also works on a tuna farm and as such is very helpful with a multitude of technical things.