So over the course of the many years of game music buying, my places of purchase have changed.  Some places went out of business or stopped having updated stock as frequently... other places became cheaper than others...
I remember I started mostly using Game Music Online... then maybe was The Place.  I've gone through CDJapan, Cocoebiz, Square-Enix's online store, and Play-Asia...

Are there other good, reliable, easy to order from online places that you guys shop at these days?  I'm excluding any auction sites and places like Amazon Japan.

Why are you excluding amazon japan?  Amazon Japan is the source if you want something right away.  I get packages from there within a day of release.  CDJapan is where I now go if I order in bulk, amazon's shipping policies and prices are a little outrageous at the moment.  Occasionally I will order from Play Asia if I missed a release and it's past the release date and I have a coupon.  Coco is still around but I only order from her when I need something special ordered, I think the last time was for the Super Mario Galaxy 2 OST.  Those are pretty much the big 4.

Amazon Japan, for me, is a last resort, if I can only get the product I want through them; their shipping costs to The 'States are just horrendous; CD Japan's are bad enough, but Amazon JP's are just HORRENDOUS.

Play-Asia's usually my choice, especially for small batch orders, ESPECIALLY since their shipping's inexpensive; might take awhile to reach me, but I always order well enough in advance before I know I'll really want something.

I'm pretty much strictly Amazon Japan myself.  Their selection absolutely can't be beat.  In the order I did a few weeks ago, I found two CDs from 1999 and 2001 and both were in stock, long gone at every other retailer I know of.  I'll agree that their shipping price can be a little steep but as jb said, I always receive my orders in 2 days and pre-orders are delivered on their release date.  I'm also lucky enough to have two local buddies who go in on orders with me, so that helps a lot by cutting that shipping cost down.

As far as other places go.. I've had good experiences with CD Japan, NCSX, Otaku, Play-Asia, Amazon.com (for domestic releases), VGM World, and YesAsia.  Regarding used CDs.. eBay (be careful), Yahoo! Japan Auctions (via Shopping Mall Japan), and the VGMdb Marketplace.

I used to use Amazon Japan almost exclusively until they killed their cheaper shipping option.

Last couple years have pretty much only been Play-Asia with coupon and/or sale.

A mix of VGM World (Cocebiz), CD Japan, and Amazon Japan.

I find the shipping cost at amazon reasonable for their delivery time and service.  The thing that made me switch to doing bulk orders at cdj was because they started splitting out my orders by week if I ordered different released soundtracks and charging me shipping for each batch of orders.  Their "Ship items when all items become available" really means "we'll ship your new releases and anything released the week of in the same shipment and everything else whenever we get it".

Amazon Japan is an absolute no-go for me. Shipping is twice the value of goods most of the time, with no option at all to select something cheaper.

I want to buy albums (!), not renting the whole plane on which they transport their shipments....

Last time I did some calculations and it was actually cheaper to purchase something from Amazon.co.jp through a middleman (and then using SAL for shipping) than ordering directly from them.

Shops from which I usually order:
1) YesAsia
2) CDJapan
3) VGMWorld
4) HMV
5) Otaku
6) champs_des_pins@eBay

Like Amazon.co.jp I also avoid Play-Asia, since their inventory usually matches with the one from CDJapan, but the pricing is always higher. Plus their item stock management is a major catastrophe: I stopped counting the times where they canceled an order because the item was suddenly unavaible, even though their shop system clearly listed it as available. Their delaying tactics when this happens is another reason I eventually stopped using the shop.

Normally I just use 1) and 2) and 3). With all three I had very good experiences in the past. 5) and 6) are very expensive, especially their shipping charges, but they carry some rarer albums.

Liquid, where do you live? I have yet to purchase stuff from Amazon Japan and have it cost more than the items I purchased, even for a single CD! Granted, I don't purchase from Amazon Japan often, but when I do, I haven't encountered this problem.

It's Germany.

And I just made (again) a small test:
Put Akiko Shikata's RAKA (2676JPY) into the cart and proceeded to checkout. Shipping and handling is exactly 3000JPY (!!!). Sorry, but _this_ is just ridiculous.

I've used HMV JP a bunch, not just for game music but for most Japanese CDs. Recently, they were among the few to stock Falcom vs jdk Band SUMMER 2010. Their shipping is about standard compared to other shops (around $12). They also allow shopping and shipping to the U.S.

Yahoo Japan Auctions for when I'm out for rarer items (though lately, they've been scant).

Play-Asia has cheap shipping and sometimes discounted releases but their releases aren't always in stock, often take a week or so to ship.

I'm glad I'm not the only one who's been thinking this.  Plus, I remember when going to YJA would be a good way to get most things much cheaper than normal.  Looks like those days are long gone.