First things first, you've got to get yourself an elf! By no means do you need to get an official "Elf on the Shelf" elf. You could use any elf you want. I happen to think the official ones are kinda cute, but some people think they are a little creepy. Maybe you have a cute elf that's been in your family for years. By all means, use that one! It's about making memories for your family! Plus, they are a little spendy. $30 for a book and an elf. :/ But if you consider that you'll be using it year after year, it's not bad at all.
So, let's say you are going to get the official elf. Where to go?! No worries! They are available eveeeeeerywhere. I happened to get mine at Target. But I know they are available at Barnes & Noble and Amazon. We have the standard boy elf with fair skin and blue eyes.
There are other options, though. Both fair skin and dark skin are available as either a boy or a girl. If you choose a girl, I recommend that you also get the skirt. Without the skirt, it is hard to tell the difference between the boy version and the girl version. A bit of lipstick and barely noticeable earrings are what make it a girl vs. a boy. They both have the same cute, impish look on their face. If you bought a boy and now wish you had gotten a girl instead, all you need to do is pick up a skirt. :)
Like any successful brand, Elf on the Shelf has expanded quite a bit and there are all sorts of add-ons. (Including a limited edition skirt for 2012.) We have a boy and I kinda want the skirt! But that's just me. I love everything cute! I'm probably not going to get it though, because I can't actually justify getting it. It doesn't fit into any of our plans. (But maybe I might just figure out why I NEED it!) ;)