Shops listings include basic info, pros and cons, and current deals (if any). Unless otherwise noted, all prices are in US dollars or Japanese yen. I'll do my best to keep this updated on a regular basis, and hope that my fellow CAGs can help out
Updates:
01/29/13: Happy New Year! Some good news: the dollar-to-yen exchange rate has been improving! As of this update, it's at 90.89 yen to the dollar. While it's not quite as good as the highs it reached during the mid '00s, this is still great news if you do any importing from Japanese shops.
DeepDiscount.com and both Amazons have been thoroughly updated with new deals. The Free and Bonus Soundtrack lists have also seen revisions. There are smaller updates throughout the rest of the post (ETA: including the temporary closure of Sumthing Digital's shop-- thanks 11440).
This update's notable recent release is the four-disk Portal 2: Songs to Test By Collector's Edition. This soundtrack was originally made available for free by Valve (and it still is), but the CE includes some extras, the most interesting one being the first Portal's OST. Anyway, if you really want a physical copy of the Portal soundtracks, here you go.
Finally, after a very long going-out-of-business sale, VGM World has closed up shop
Even though I only ever ordered from them twice, I could see why they had such a stellar reputation. Like GameMusic.com before them, VGM World will be missed.Old updates:
Spoiler
Glossary:
VGM - Video Game Music.
OST - Original Sound Track. A variation is OSV, which is short for "Original Sound Version".
Arrange album - Game music albums that are not OSTs, but rerecordings or remixes of game music. Square Enix's "Piano Collections" albums and live concert recordings fit in this category.
First Press - Refers to an edition of a soundtrack (or a bonus that comes with it) that is only available with the first print run. Many such soundtracks have the same MSRP as "normal" editions.
Doujin - A Japanese term for independantly made and produced media items, including games (and those games' soundtracks) and fan works such as game remix albums.
SAL - Surface Air Lift. Economy airmail, with no tracking or insurance (though some shops offer "Registered SAL", which includes tracking and limited insurance). Usually the cheapest international shipping available from Japan; can take anywhere from ten days to six weeks.
EMS - Express Mail Service. What it says. The fastest and priciest international postal shipping from Japan, it usually takes between 3-5 days. Always includes tracking and insurance. Highly recommended for large and/or expensive orders.
Proxy service - A type of shopping service international buyers use to get items that are only sold locally. There are also forwarding services in which an international buyer places the order themselves and has it shipped to a local address, from which it's forwarded to said buyer.
How to Find Game Music on Japanese-Language Sites (when you don't know Japanese):
Copy and paste either the title (in kanji) or the catalog number of an album into the search bar, either at the specific site you're searching, or through Google. VGMdb is a good reference for both types of information.
Free and Bonus Game OSTs:
There are a handful of game soundtracks and albums that are legally available for free. Also, a number of games have their soundtracks included as a bonus. Suggestions for either or both lists are welcome!
- Legally Free Game Soundtracks Updated!
- Bonus Soundtrack Included Updated!
Online Shops (General)
All shops/services listed in alphabetical order. New deals on/listings for individual soundtracks are in bold (note: slight price drops/increases are not bolded).
Amazon.co.jp Updated!
Formats: CD, MP3
+ Some of THE best Japanese game OST prices online and Japanese retail prices on everything else, incredible and diverse selection, fast international shipping, payment in US dollars is accepted for in-stock items.
- International shipping is expensive (as such, ordering is not really worth it unless you're buying a lot of stuff at once), limited English-language navigation options, separate Amazon.co.jp account required (unlike with other international Amazon sites), Marketplace and Fulfillment by Amazon items can't be shipped internationally, very few MP3s available, the (improving but still unfavorable) exchange rate.
Additional Info: To order Marketplace/Fulfillment items, or just to lessen the cost of shipping, a proxy or forwarding service is recommended. CAG favorite dv8CAG specializes in Amazon.co.jp forwarding.
Amazon.co.jp's game music CD section and Amazon.co.jp's game music MP3 section (Japanese, limited English)
- Some game music CD subsections, for slightly easier browsing:
Spoiler
Current promotions/sales:
Spoiler
Amazon.com Updated!
Formats: CD, MP3
+ Great selection of domestically-released OSTs, track samples available, multiple Cheapy Award winner.
- Import OST prices tend to be stupidly high.
Amazon.com's animation and game soundtrack section and Amazon's products tagged with "video game soundtracks"
Current promotions/sales:
Spoiler
AmiAmi
Formats: CD
+ Japanese retail prices, frequent shopper points, multiple orders can be combined, multiple shipping options, good customer service.
- Rarely any VGM deals (amazing prices for figures, though!), high shipping estimates, the unfavorable exchange rate.
AmiAmi's game CD section
Current promotions/sales: Nothing notable right now
Bandcamp
Formats: CD, MP3, FLAC
+ Proceeds from all sales go directly to the artists, many albums are "name your price", easy to browse, sample tracks available.
- None that I know of.
Additional Info: VGM albums can be found under the tags game music, game soundtrack, and video game soundtrack. Alternately, there's this Google search.
Some Game OSTs/Publishers on Bandcamp: Some notable artists and albums.
Spoiler
CDJapan
Formats: CD
+ Good selection, Japanese retail prices (with small discounts on many items), regular sales, frequent shopper points and coupons, multiple shipping options, good customer service.
- Rarer OSTs can be hard to come by, game OSTs in particular rarely go on sale (and the most they seem to ever be discounted is 5% off of retail), the unfavorable exchange rate.
CDJapan's game music section
Current promotions/sales: Nothing right now
DeepDiscount.com (suggested by JamesInDigital) Updated!
Formats: CD
I've never bought anything from here, so no review for right now. If anybody wants to contribute one, that would be great
DeepDiscount.com's video game music section
Current promotions/sales:
Spoiler
iTunes
Formats: MP3, AAC
+ Cheaper than physical disks, includes some OSTs that would be hard to find in disk form to begin with.
- Limited selection, no sales (that I know of).
Additional Info: For game music, search under "Soundtracks" in the iTunes Store; this is one of those places where it helps if you are looking for something specific.
Some Game OSTs/Publishers on iTunes: A list of publishers and individual albums to keep an eye out for.
Spoiler
Mandarake
Formats: CD
+ Decent prices; carries obscure, rare, and doujin CDs.
- The vast majority of CDs are used, limited English-language browsing options, the usual lousy exchange rate, 500 yen handling fee applied to orders under 5,000 yen, some parts of the site are extremely NSFW (especially since the option to filter out hentai products is broken).
Mandarake's CD section
Current promotions/sales: None that I know of
National Console Support (aka NCSX) (suggested by Traitorious)
Formats: CD
+ Has a great reputation among import gamers.
- Generally high prices, limited selection.
NCSX's music CDs section
Current promotions/sales: Couldn't find anything
Otaku.com
Formats: CD
+ Wide-ranging selection (just about all of it in-stock), carries used game OSTs, now carries doujin CDs, some rare items, great customer service.
- Some prices tend to be on the high side, only ships EMS.
Otaku's game music section and Otaku's Final Fantasy CD section
Current promotions/sales:
Spoiler
Play-Asia Updated!
Formats: CD
+ Good selection, regular sales, multiple shipping options, generally decent prices, coupons, good customer service, multiple Cheapy Award winner.
- Rarer OSTs can be hard to come by, slightly better prices can be found elsewhere with a little digging.
Play-Asia's Videogame Soundtracks section
Current promotions/sales:
Spoiler
Rakuten Updated!
Formats: CD
+ Large and diverse selection; carries obscure and rare CDs.
- Most CDs seem to be used, product descriptions are machine translated, the usual lousy exchange rate.
Rakuten's game music CD section
Current promotions/sales: 50% off international shipping by using Tenso.com until January 31.
Steam
Formats: MP3
+ Good prices, great sales, good site navigation.
- Soundtracks are generally treated like DLC and require the base game, no dedicated section in the store for soundtracks.
Steam search for "soundtrack"
Current promotions/sales: Changes on a daily basis, and may or may not include soundtrack DLC. There are two large annual sales to keep an eye out for-- a summer sale and a holiday sale-- as well as your typical Black Friday sale. Check out the current Steam Deal Thread for up-to-date info.
YesAsia
Formats: CD
+ Wide-ranging selection, free international economy shipping for many items.
- Items aren't necessarily guaranteed to come in stock.
YesAsia's game music section
Current promotions/sales: In addition to free shipping, many items come with a free Japanese capsule toy. Other than that, nothing right now
Online Shops (Official)
Blizzard
Formats: CD, vinyl
+ Exclusive items.
- Very limited selection.
Blizzard Store's CD/DVD section
Current promotions/sales: Nope
Humble Bundle Updated!
Formats: MP3
+ Set your own price, supports indie developers and/or charities.
- Limited and fluctuating selection, not all bundles include soundtracks.
Humble Bundle
Current promotions/sales: There isn't a bundle currently being offered
Rockstar
Formats: CD
+ Good site navigation, good prices
- Very limited selection, no exclusives (as far as music goes).
Rockstar Warehouse's CD section (There is also a downloadable music section, but none of the albums there are sold directly by Rockstar.)
Current promotions/sales: None
Square Enix (Online Store suggested by Kirin Lemon, Distant Worlds suggested by Nogib)
Formats: CD (Square Enix Online Store), MP3 (Distant Worlds)
+ All-around great prices for import Square Enix OSTs, free shipping at $100.
- Limited selection, no non-Square Enix-published Square Enix game music (such as anything Dragon Quest).
Square Enix Online Store's music CD section
Distant Worlds official store
Current promotions/sales: Don't seem to be any
Sumthing Digital (suggested by eastx)
Formats: MP3
+ Digital downloads of Sumthing Else releases, all in one handy location. If you aren't familiar with them, Sumthing Else publishes a lot of Western game music, and also domestic versions of some Japanese soundtracks (mostly Capcom ones).
- None that I can see, other than the shop being download-only (for CD releases, check Amazon.com).
Sumthing Digital's game soundtracks section - Note: the site is currently closed for renovation.
Current promotions/sales: Nothing at the moment
Video Games Live
Don't know much about this place, so no plusses or minuses for now. They have a small selection of Video Games Live and Tommy Tallarico albums.
Video Games Live's online shop
Current promotions/sales: None, looks like
Auction Sites
eBay
Formats: CD, vinyl (though it's rare)
+ Some tasty rarities pop up here from time to time.
- Tons of BOOTLEGS, limited selection of legit OSTs, the usual eBay crapola.
Additional Info: I don't think I need to tell you all how to get to eBay
Legit Sellers: Otaku.com and NCSX (listed above) are both known eBay sellers; here are some others.
Spoiler
Yahoo! Japan Auctions (suggested by Bloomy)
Formats: CD, vinyl (though it's rare)
+ The Japanese equivalent of eBay, wide-ranging selection, rarities, less of a risk of bootlegs than on eBay.
- Entire site in Japanese, you will probably have to go through (and pay for) a proxy service to get what you want (Bloomy recommends Celga).
Yahoo! Japan Auctions (Japanese)
Additional Info: Dealing with Yahoo Japan auctions
GameMusic.com R.I.P. VGM World (vgmworld.com) R.I.P.
Additional contributors/thanks: SleazyC, K_G, helmet, ZerotypeX, metaly, 11440, MSUHitman, neocisco
Edited by blueshinra, 30 January 2013 - 02:52 AM.
Some store and other updates.
Defiance 
Spec Ops
I hope it stays alive for a long time
