I'll second play.com for getting stuff cheap.

However if you're asking purely in terms of high street retailers, then Music Zone would be your best bet as they are a bulk buyer/distributor.

The HMV's / Virgin's / WH Smiths of this world unless it's old or theres a promotion usually tend to sell at full price and the BBC Shop will most definitely sell full price if it's a recent release.

-mrploddy