I'm in zone 5 and have had great luck growing parsley and cilantro from seed in pots in past couple of years.
This year I'm also growing stevia, basil, dill, chamomile, Celery "Amsterdam Seasoning" (a parsley-like herb from Renee's Garden) from seed.
In the past I've bought seedlings for thyme, rosemary, lemon verbena, lavender, and most have lasted as perenials in pots and in my garden (sometimes I have to replant the lavender & rosemary depending on the winter).
Seedlings certainly provide more instant gratification, and shouldn't be too expensive if you're only buying one or 2 plants of each herb

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