I like to go to a local record shop called Repo Records.  They have all kinds of cool used vinyl as well as used and new cds.  I've found a lot cool shit there, including a cd version of the rare Misfits album 12 Hits from Hell.  I picked it up for something like 10 bucks and that record is worth a fair amount of money to Misfits fans.  I also got some old KMFDM records and an original Black Flag "Louie Louie/Damaged I" single.  They had some old Minor Threat and Fugazi as well.

There is also a good ebay store that I go to now and again, but I can't recall the name.  The guy who runs it is great and knows his shit about records.