iTunes (because of the ease of doing so)
Zune Marketplace (they give ten "free" MP3 downloads a month.)
Here in Austin, CD places either are the big box stores (which get enough of my business when I go for electronic stuff, and their selection is usually available online), or the small shops which deserve patronage. However, AFIAK, almost all these shops are located where parking is just plain impossible, or will cost almost as much as the CD itself (south Congress, the drag.) If I were down there for another purchase, or if a CD shop were located in an area where parking doesn't consist of finding a garage surface lot to plunk down $20, I'd do that before ordering online just to support local businesses.