I've picked up some real bargins on Amazon Marketplace. I've had CDs for 1p (£1.24 P&P mind) and DVDs under £1. Bought stuff new and used on there and never had any problems. Just check the seller's feedback and description first.
I bought a few from Tesco Jersey last Christmas and they were as cheap as I could find anywhere.
I use Play too, suggested by Rab, which is also excellent.
However you won't be able to use vouchers and codes. To do so you'll have to leave the CDWow site, clear your history, then go back to the site in a new window (long winded I know, but its the easiest way I can find).