Amazon is a excellent source for CDs and I've certainly bought my fair share. Same with Half.com.
I've found that most of the used CDs that I've managed to get have nearly always been in excellent shape and played just fine in my system.
There used to be a record store called Stangeland Records that specialized in the music that I like to listen to, but alas, they went out of business last spring. Royally sucks.
Other places where I've gotten CD, since these also specialize in my chosen genre of music:
Nightmare Records
CD Inzane
The Laser's Edge
ProgRock Records
These are a few of what I use to source my music. Of course, I've actually had pretty good luck in finding some of the music that I listen in good ol' Best Buy.
As for downloaded music, yeah, I know about all the talk about "low quality" and all that other
. But there is no denying that I like the convience of it (i.e., not having to wait for a CD to arrive in the mail and such). For that I've been using eMusic for a number of years and just recently started using LaLa.com. I've also, on occasion, have use the Amazon MP3 store. I've found that I really like something that I have downloaded, I'll attempt to get a copy of the actual CD whenever possible. However, some of this that I listen to has never been released in the US and/or is out of print, thus very expensive or hard to get any other way other than via download.