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[EDIT] My post just got approved on Reddit, so that's the one I'll be keeping updated.
I've been doing a ton of research on Colemak keycaps in particular, and figured I'd share my results with the community; I think new searchers would particularly benefit. There are budget options and $$$ options. I am not a vendor and am not getting any benefit from the links or any referrals below (ETA: I removed links in hopes that the post would be approved); I've spent spent a lot of time and want to save you time.
I apologize if you feel like this post "talks down" to you at any point -- I wanted to make it for new users who've never shopped for custom keycaps as well as older users who have already been burned by a group buy.
As many users here like to remind everyone, keycaps aren't technically necessary if you can touch type. But they look very pretty :) And can help with early learning or typing in passwords.
This is a US centric post -- apologies international friends! Often these keycaps are available from regional vendors.
Why can't I just rearrange the keycaps that came with my keyboard?
All of your keycaps are different heights -- called a sculpted profile -- so if you switch them around the keyboard will feel awkward.
There are five ways to accommodate a Colemak setup.
 Buy a uniform profile set. In this profile, all keys are the same height so you can swap them around. Price range is $ to $$$.
Example uniform profiles are DSA, XDA, KAM, G20, MA, "XVX Low Profile". There are also specific sets that are completely uniform (no bumps or deep dish under F and J) and/or come with optional homing keys that have the bumps/deep dish.
Uniform profile on the taller side, relatively flat keycaps. CHEAP.TONS of variety. Check Amazon, AliExpress, Flashquark (US). Pikachu, Evangelion, honeybees, ice cream, mango, fruit banana, analog dreams, dots, animal crossing, this super cute hamster set, Witch, Mizu.
Minor issue: Will come with bumps on the F & J keys for QWERTY users, so when you rearrange the bumps will be in a weird place and you won't have bumps on the T and N keys. I have seen a user or two apply drops of glue to T and N to fix this.
Backlit XDA keycaps: The only variation I've seen are the Lavacaps XDA in either black or white, on Amazon.
Uniform profile on the shorter side, more rounded bevel on the keycaps than XDA, created by Signature Plastics (runs the site pimpmykeyboard.com)
Examples ($$ - $$$): DSA 2049, DSA Granite, DSA Hana, DSA "UnAlice", DSA Think Different, your own custom printed keys; and there are a bunch of other options on the PMK site. Some of these come with homing key options. You can find cheaper sets, blank sets, custom spacebars on other sites like Flashquark and Aliexpress.
Another uniform profile, designed by Keyreative. Sometimes comes with bumps on F/J, sometimes no bumps.
Examples (all $$$): KAM Command (actually this is almost sold out now at Vala Supply), KAM Soaring Skies, KAM Superuser (has a homing kit)
Another uniform profile by Signature Plastics. Completely flat, low low profile, rounded edges. Not everyone likes them. You can make your own set or buy one of their pre-made sets. If you're an Alien fan, check out G20 Semiotic.
Taller than XDA, flat. Created by IDOBAO. Not a lot of options, I think there are maybe three sets out there - white on black (WOB), black on white (BOW), and a purple and blue kitty themed set. No homing option, haven't seen a blank set around.
"XVX low profile":
Really really low, beveled edges, created by a company called XVX. There are backlit and not backlit options. They're lower than DSA.
Backlit ErgoDox Tai-hao keycaps (keep scrolling to see these on that page): These are technically from a sculpted profile, OEM profile, but the keys in this set are all from the same row, Row 3, so you can move them around to accommodate non-QWERTY profiles. Because they're made for an unusual keyboard they won't have the usual mod keys that you'd be used to, but you can always buy OEM mod keys from another place. I'm pretty sure this is not the ONLY sculpted set that uses only one row for all keys, I just haven't recently seen any. Sometimes a keyset will say "R2" and that means all the keys are Row 2, and sometimes "R2" means Round 2, as in this is the second printing of the keyset.
Buy a completely blank set or abstract legended set. These keys don't have legends on them. Have seen in XDA, DSA, Cherry, OEM variations...I'm sure there are others. GMK Dots ($$$), XDA Dots ($$), Banana ($$), GMK Pixel ($$), G20 Semiotic ($$$).
Buy a sculpted profile set that comes with additional keys for Colemak. These are typically called typist kits or Colevrak kits. Some sculpted profiles are more likely to come with these kits. Many keycap designers have created their own sculpted profile standards. I usually find Colemak compatibility with MT3, KAT, MTNU, and SA profiles. Some examples:
MT3 profile keycap sets ($$$): MT3 Godspeed, MiTo Mt3 Noctua, MT3 biip extended 2048, Matt30 dev/tty (out of stock), Matt30 MT3 Susuwatari, Zambumon MT3 Serika, Matt30 MT3 3277
KAT profile keycap sets ($$$): KAT Mizu, KAT Atlantic, KAT Cat's Eye, KAT Refined, etc.
MTNU profile sets ($$$) (new profile, in group buy): MTNU SUSU, MTNU Beige
SA Profile ($$$): SP SA "Ice Cap" Keyset, SP SA "1976", design your own SA SA-P set (technically a little different from SA, in terms of materials)
Very rare GMK sets, like GMK Electric ($$$) (out of stock, boo)
 Use a design-your-own-set service. This is actually a bit easier than it sounds; there are companies who specifically focus on this service AND support Colemak/alternative layouts. I mentioned a few of them above, but will repeat here:
Signature Plastics (aka Pimpmykeyboard): Custom DSA, G20, SA SAP. Will only print keycaps with black font. Right now their site is hard to navigate and their filters aren't up to date, search isn't perfect, but if you look around you will find all three customized printing options. I would put links but I had my post auto-removed from Reddit, presumably for including links...not sure if the rules are the same here, and working on getting my Reddit posts cleared.
Maxkeyboard: Does Cherry profile custom printed color sets (pick keycap and color, optionally upload artwork) and custom backlit sets (pudding set, non pudding set, translucent set). They will do front print and/or top print, and they can also make custom backlit macro keys.
WASDKeyboards: Custom color printed sets. Pick the color of the keycaps and the color of the font. Can optionally upload your own Inkscape file to pick your own font and artwork. I've used these but my backspace key split this one time, so YMMV. They aren't the most expensive option here.
Custom print white DSA keycaps with grey text
Custom print white Cherry keycaps or backlit white or black Cherry keycaps
Custom print white, purple, red, or orange MBK keycaps, OR backlit black MBK keycaps
Custom backlit only MDA keycaps (another sculpted profile)
I think FKCaps is my favorite, even though it doesn't have many color options, because:
you get to select your specific layout or customize your layout;
you can easily select a variety of legends for custom macros or upload your own SVG;
detailed in-UI tools for adjusting the alignment of legends, macros, and vectors;
you can pick your own font or upload your own font file. For example, this is the only custom site that supports Colemak in Helvetica rounded out of the box. On the other sites you would have to upload a custom SVG
They have backlit options!!!
Goblintech Keys: I've never used them before BUT it seems like they have a variety of design options and their designer will actively work with you to design your perfect keyset, which costs a lot extra (for example, $89.99 vs $159.99 here).
3D printing: Get a designer to 3D print keycaps for you (check Etsy), 3D print them yourself, or work with a vendor like Xometry to print the STL files for you.
 Buy a special "low profile" keyboard that comes with "low profile" keycaps, mimicking the thinness of a laptop keyboard. Examples include more general consumer options ($$) like the Keychron K Pro Series or Nuphy Air Series, which use MX style stems; and "hobbyist" split keyboards ($$ - $$$) like the Keebio Cepstrum, Corne choc, Sofle choc, which use Kailh Choc style stems.
If you are using Colemak DH: Totally revising what I wrote here, because I did NOT understand Colemak DH :) Pretty much all of the sets above will support it. It's key that you look for the letters "D" and "H" in the row right above the space bar. This is usually called "Row 4" (or R4).
OK I think that's a wrap!!! I apologize if any of the links break or have already broken. Let me know if you have any comments or questions. Hope this helps someone out there :)