We get most of our records (we order at least once a month) from Spillers records in Cardiff (http://www.spillersrecords.co.uk/) and we live in Birmingham! Really ace people but the web site is rubbish – just give them a call or tweet at them if you can’t find it – it will soon appear on the site 🙂 They seem to be able to get just about anything in, no matter how obscure.
Piccadilly and Rise are also good. Sometimes use Rough Trade if they have a special that you can only get from them.
The best bit about actually talking to a record shop is that you’ll get recommendations on stuff you might not of heard, or if they know you like a particular band random stickers/free demos etc, or they’ll hold rare stuff back for you.
Last month we got a signed LP we had pre-ordered as the artist was in the shop so the owner got it signed for us 😀
EDIT: Or if you have a decent local Indie record shop go support them.