http://www.ebay.ca - Well, I think if you're patient the best place to get CDs online is always gonna be Ebay, but often it will be weeks before your desired CD shows up, if not more (depending on scarcity obviously)
http://www.interpunk.com - Pretty good prices and a lot of good music - also has a lot of music "accessories" that aren't lame things for trendsters like hot topic. lol, "everything about the music, BUT the music"
http://www.cdbaby.com - a really great site for getting indie acts you know about and for finding new indie acts through either just browsing or using their search engine that lets you search for "artists that sound like *". They've got a huge selection of 5 dollar CDs too.
http://www.amazon.com - The Walmsrt of online stores - hard to beat sometimes.
Record Label/Band's sites - a lot of the time, the band or record label's (if it's indie) site will have the cheapest prices, so I usually check there first
Incidently, I'm just mimicking myself cause I think these are the sites I have listed for buying music on my site - ah well. :P