If CDs, probably any store that carries loads of music. Best Buy is a good bet. Also, check out smaller dealers around town. If you know what your looking for, lots of those guys get their main business from the internet and have a lot of sources. They could hook you up.
I'm not sure if it's the same where you are, Alb-D, but here in Aus. most of the CD clearance shops are packed with dirt cheap classical and operatic albums.