There used to be a really good music shop in a nearby town where I bought all my classical CDs, but that has closed down and there is nowhere now which stocks anything more than the basics. So I use Amazon, but more often MDT (
MDT - Please enable your cookies), which is very good.
(Sorry, that link looks a bit strange, but it does work!)
For books I use Amazon sometimes, but more often Abebooks (
AbeBooks Official Site - New & Secondhand Books, New &Used Textbooks, Rare & Out of Print Books), which acts as a kind of clearing house for all the second hand book shops in the country. It's a fantastic website! And you can buy books from abroad too - I recently found a very rare old book, for which I had been looking for ages, in a tiny shop in Rhode Island!
Clothes and cosmetics I get from eBay - I like clothes from Ulla Popken and Ann Harvey, which are a bit expensive, but I can always pick up bargains online. And I like to get small sizes of expensive facecreams to try them out, which are easy to find on eBay.
Also, I always buy my train tickets online - the best way to get the bargain tickets which are getting so hard to find these days.