In case you have never seen a vanilla bean in your life, you may be wondering how you split one correctly. It’s pretty basic once you know what you’re doing. You want to take a paring knife and insert the tip in the center of the bean. Pull the bean, not the blade, along the length of the bean (the bean is now cut halfway). Then turn the bean around and repeat. (You are only splitting the bean once, but you do it with two cuts. This prevents you from going off line during your cut which would yield a smaller amount of seeds to scrape.) After you have split the bean in half take the back of the knife and run it along the length of each bean (see image above). Repeat this for the other half of the bean.
As for buying vanilla beans, I would definitely check out the Internet. Beans you buy at a supermarket will be at least twice as expensive, and nowhere near as fresh. I buy my beans from The Boston Vanilla Bean Company. I would recommend Madagascan Vanilla Beans. They have the flavor that I look for in a vanilla bean and are very consistent. Store your vanilla beans in a ziptop bag inside an airtight container. Stick that in the fridge and they should last 6 months to a year.