My primary source is a local independent record/cd store. He doesn't carry too much stock that interests but will usually order in for me.
What he can't I pick up from amazon (cd's only).
For digital downloads I go to HDTracks first.
When all else fails I go to the label for mail purchase.
I'll pick up the odd album off of iTunes but that's really limited.
I really miss the old record/cd stores. As we didn't have any near me, it was a real treat to stop into a Tower or Virgin Records while on vacation. I could easily spend hours and several hundred dollars on a trip to one of these stores.