My new MacBook Pro uses Thunderbolt to connect a monitor. My monitors have all HDMI or VGA plugs. So I was looking for an Thunderbolt to HDMI adapter in my favorite shop. But I can't really find one. Am I missing something?
Yes - you might be overlooking that all the Display Port adapters work perfectly well with Thunderbolt macs.
Just place it at the end of the chain. It's not an issue since your VGA or HDMI device isn't going to have another Thunderbolt port in the chain to send the data further. You are necessarily connecting at the end of the line.
The Moshi is my favorite, but any of the Apple ones VGA, DVI are fine choices as well. You should find many "equivalents" from other vendors as well once you realize you can skip the Thunderbolt part for now.
One thing to keep in mind is that you need a Mini DisplayPort-to-HDMI adapter plus an HDMI cable. Some retailers are still selling Mini DisplayPort-to-HDMI cables (Mini DisplayPort on one end, HDMI on the other), but these do not work with OS X Lion (I found this out the hard way).
I'd recommend that if your favourite store doesn't have what you want that you use Google Shopping to search for a reputable store (one with lots of positive reviews) that stocks what you're after.