Technically, I hate having to deal with all of these sites at some capacity, since there's always some inconvenience... except for Bandcamp, that site is wonderful; and I'm sure RarezHut would be very convenient too, since they don't operate in Japan.
Agreeing that あづまや本舗 has a nice selection, though some of their things can be freakishly expensive. However, before they started shipping overseas, I placed orders on that site through FROM JAPAN, and shipping to the warehouse was always free. Haven't tried ordering from them since they started shipping overseas.
I like ClosetChild and PureSound, because they have a nice selection, but they ONLY let you use EMS. Also, PureSound makes you e-mail them an order form, which is fucking weird.
CDJapan can be a pain in the ass from time to time (especially with pre-orders), but they have multiple shipping options, so it can be more affordable in many cases.
FROM JAPAN used to be my all-time favourite thing ever, but now I feel a bit resentful. It's perfect for buying multiple things from several different stores, but buying only two CDs from a different store... not so much, but sometimes it's the only option. Also, it seems that they go to great lengths to make sure that customers spend the most money (e.g: putting two CDs in a GIANT BOX so you can pay more for shipping but charging you to make them put the items in a smaller packet).
With my financial situation, I will only, ONLY purchase through FROM JAPAN if it is my last resort, or it is (by some freakish circumstance) the cheapest option.