Mostly I'll buy stuff in person at the giant HMV in Toronto, but sometimes I'll buy off of iTunes. On rare occasions, I'll order the physical copy online. I preordered the new Alexisonfire album, for example.
I buy mostly online:
cdwow
bangcd
amazon
bol.com (Dutch online web shop)
Record stores are disappearing fast over here and are over priced anyway so I go online. I'm not into really obscure stuff so I manage to find most things.
Oh god I hate FYE. High prices and a bad selection, hooray! There's a big FYE in downtown Philly in the space that used to be occupied by Tower RecorRAB and you know what? Even with all that space, they still suck. I just can't wrap my mind around how they can take the exact same retail space that Tower used to fill with a pretty solid selection and somehow still have the same limited selection as their small stores at the mall.
There's a big record store over here in Amsterdam that's slightly over priced but has a good selection. I still rarely go there since they have many discount CRAB and I always walk out with big stacks of albums and a huge hole in my budget.