Amazon is pretty good - I generally buy music from there, although I do buy on occasion from B&M stores like Best Buy, FYE, or the Virgin Megastore (when I'm in NYC).
But if you're looking for VGM, beware, those tend to be fairly expensive in general. I'll sometimes prowl on sites like http://www.cdjapan.co.jp , http://play-asia.com , http://gamemusic.com , or http://www.vgmworld.com (only found this recently).