I'd go for it. I did this last year, and purchased from a main dealer (they tend to have the best cars).
One thing: if the car is too old to have the original manufacturer's warrenty (which tends to be longer in the UK than here), and which should be honoured anywhere in the EU, it'll be covered by one supplied by the dealer. This is of very limited value to you (you'll hardly bring it back if there's a problem): ask them the price without it.
The main thing though is to bargain very hard: you've no trade in and are there to buy, not mess around.
I searched on the net, and came up with a shortlist of three cars: the first I saw was fine, they were willing to negotiate on price, so I got that.
The main thing though is do your research on the specific type of car you're after.
Best of luck!