1. CDJapan - Almost exclusively for the last 7 or 8 years. Points system, while not really a significant source of savings, is a nice bonus. Customer support has always been good in the rare event I've ever needed to contact them. The artist and series subscriptions help me keep up-to-date on new releases by favorite artists and such. And in the last few years, their special request shopping service has been fantastic for acquiring anything I need from specialty stores or JP exclusive items.
2. amazon.co.jp - I was using this mostly in college and shortly thereafter and stopped around 2006/7 due to their insane shipping prices, their switch from DHL to FedEx and their shipping policy of breaking big orders into multiple shipments based around release date. Around then I moved from a weekly ordering system to monthly/bi-monthly ordering system to save on shipping and that's about when i moved to CDJ. CDJ also supported paypal and at the time they weren't charging a huge currency conversion fee like my banks do but that's since changed. I still use this now and again for some one-off items I can't get from CDJ but they're few and far between.
3. Jerold - He might not count as a true retailer but the service he's provided this community for the past 10-15 years is immeasurable. His prices are competitive with most middleman services and he's been around for longer than most have existed. I use him maybe once or twice a year and it is always an absolute pleasure. Even if his prices are more expensive id rather support his little grassroots type effort than some company just as an appreciative nod more than saving a couple bucks.
4. PlayAsia - I've used them a few times to order some things that just weren't immediately available at CDJ and things I didn't feel like paying extra on the special request service for. No complaints about them
5. Otaku.com - I know some people have had problems with Alex's service but I never have. His website and auctions are never my first choice destination but sometimes if I'm looking for something hard to find or oop or sole recently exhausted LE, I'll check it out. There is quite a bit of markup and that's the only detractor but once a year or so isn't so bad.
6. Tower.co.jp - Used once or twice in college with some success. Was a bit difficult registering and getting set up as a US account but once I did it was a pretty easy transaction. I think the only thing i remember ordering from them were two Hisaishi Chinese albums that no one else was carrying (Qing din dai seng or something)
7. Marketplace forums - Pretty paramount for starting my collection back when I first started. Strohmie, Carl, Quasi,
etal. all helped me start my collection
8. Kinokuniya & Book-Off - I live in Jersey so it's close enough to take a trip to visit these retail stores. Kinokuniya tends to be pretty pricey and not really have much but recent releases. Book-Off used to be a gold mine but for the last two years has been mostly a waste of time. I stop by whenever I'm in NYC which is roughly 3-6 times a year these days.