Amazon.co.uk not only has good prices on bestselling items, Amazon have one of the largest catalogues for the more obscure CDs.
Tesco Jersey sell best selling items like chart CDs- normally at the very lowest prices. If your desired CD is here, then check out the price!
Amazon.com is useful for US released CD's - then you can take advantage of the US Dollar exchange rate.
Play.com has the advantage of no delivery charges and often low prices. They hold more items than Tesco, but not as many as Amazon.