I get plants from all over the place, including the supermarket. Herbs are possibly the easiest things to grow, at least among edibles, but they need certain kinds of conditions. You are most likely watering them too much or too little. If they don't get enough sunlight, they will not grow very much. They will grow much better outdoors than they will indoors.
The time of the year they are started makes a difference as well. The plants you buy at a store are started in a greenhouse most often and sometimes ahead of their season. Some herbs need lots of water, like cilantro and some, like rosemary, do not. Some can do well in the same container with others and some need their own space.
When you purchase these herbs at the store, do you immediately repot them? Most have already used up the space in their little pots and need more room for their roots to spread. Starting herbs from seed takes a long time, but it can be very rewarding to watch the plants grow and mature.
I would recommend you buy your favorite herbs that you cook with most often, repot them as soon as you get home, water carefully and only when needed, and then start more herbs from seed that you can use later.