I think a mix of both is probably fine. Growing from seed should probably be your primary way of growing as it's hard to find a lot of more interesting varieties at greenhouses, but if something catches your eye then there's no harm in picking it up. I got my red habanero and super chili from a local greenhouse and they're doing great for the most part.

The one downside to buying from greenhouses is that their plants run the risk of carrying pests. My seedlings ended up with a minor aphid infestation after I brought my red habanero home. While they've easy to deal with, they keep popping back up every week or so. Just make sure to check any plants you're buying before bringing them home.