As Elnoa said, the costume corsets aren't real corsets. They're made to look like they are, but the fabrics and boning used are wimpy and sad. Costume corsets are often made of satin, perhaps with a cotton lining, and they use plastic boning, which bends, deforms, and doesn't do a damn thing for your figure. I don't care if you're a size 0 twig, or a very curvy 20, it won't look good.
What you want to look for is a steel-boned corset. They're considerably thicker, with a nice fabric on the outside and a few layers of canvas inside, along with a twill band around the inside of the waist to give it more strength. It's the difference between a stretchy wristband and a wrist
brace. This is not to say they are uncomfortable. I have several myself and love them. With all the time and work that goes into them, they are, however, considerably more expensive, so you have to keep that in mind.
A few places you can look for corsets are:
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I've heard nothing but good things about them, and they have a wide selection.
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Not gonna lie, these guys are pricey. However, they also made my favourite corset, and it's very well-constructed. If you can find a reseller, they're a LOT cheaper. I've been told the overbusts can be a bit too long for those with short waists.
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I am in love with this site. Period.
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This site is cheaper, and therefore I'm a little skeptical of the quality of the corsets, but it can't hurt to look.
If you can, try them on first. You can also try going to Renaissance Faires, as they have merchants that will let you try things on before purchasing them. Good luck corset-hunting!