Saint Petersburg, Russia

specialized mainly in techno and house music but some other genres can be found there as well.
http://bassbin.ru/index.php

Also exists:

Baza recordstore
http://www.baza.spb.ru/
Ligovsky prospect, buliding #53
near Moskovsky railway station
Now it's not good store,but back in the good old days it was best store in the city
Anyway,you can dig there!
CDs and vinyls

Grammophone recordstore
Jukovskogo street,building 17
(the same area as Baza)
A lot of second hand records,hip hop,house,techno,trip hop,drum and bass
CDs and vinyls

1. Purpyrnyi Legion (purple legion).
http://plegion.ru/
Bolshaja Moskovskaja 6. M station Dostojevskaja. A lot of DVDs (movies and music too), CDs, vinyl records (new and used): import from USA, Japan, Europe. Also russian ones. Biggest store in town. All genres.

2. Fonoteka.
http://plastinka.com
Marata 28. M station Dostojevskaja. DVDs (movies and music too), CDs, books: mostly russian ones. Vinyl records too (used and new). All genres: jazz, electronic, rock etc.

Transylvania

Rock Island
http://allsizemusic.ru
Kirochnaya, 8
Oldest record shop in Saint Petersburg.
A lot of used and new records - progressive rock, hard rock, jazz, russian music and mamy more...
CDs and LPs