I strongly suggest Book Off. It's a 2nd hand store for most digital media, video games, and books. Unlike most 2nd hand bookstores in N America, they're a large chain and the stuff they have is in very good condition. The prices are also a fraction of new.

If you want new, just step into any shopping mall and there's always a store selling CD's/DVD's. Another option is the huge Tower Records in Harajuku.