I quite like getting my music CDs, DVDs, and sometimes games from HMV. It has some good prices, but more importantly a pretty wide range of, well, everything. Just the other week I got a three DVD box set, two other DVDs, and three CD's for under £35, which is pretty freaking good.
Unfortunately the nearest HMV is in the next town over so it's not often that I get to go there, meaning I usually have to settle for Morrisons, the local supermarket for my DVDs, which isn't bad value, but the downside is that the range of what they have is pretty crappy. The other store I use is Argos facepalm for my games. The problem with Argos is that they're pretty damn expensive (I mean I'm pretty sure they're still trying to sell Halo 3 for £40, for chrissake :eyebrow, but they're pretty much the only local store that sells any decent games. :sad: