There's a decent independently owned store here in town; reasonably priced, plus, if they don't have what you want, they'll order it and it'll arrive fairly quickly (even a lot of the obscure stuff I listen to). The problem is that it's a 20 minute drive, a trip I rarely have the time or energy for.
Generally, I hit up Best Buy for the mainstream stuff (or higher profile indie acts; I got the new Wilco there yesterday), or pester one of the couple of people I know at Borders into letting me use their discount (for the indie, jazz and folk music BB never carries). Occasionally, I'll order online at http:www.cduniverse.com