I go to Waterloo Records (or Video) at least once a week. The best thing about it is that you can listen to any cd they have in stock and they have a 10 day exchange policy. Waterloo is as Austin fixture.
Yesterday, I found another record store: 33 Records CDs on Guadalupe north of UT. Not a wide collection of stuff, but a focus on indie stuff - a lot of which I have been listening to lately.