Music Millenium is great... they have only not had what I was looking for one time.
They have a very large selection. You will likely find a lot of the indie stuff you are looking for at MM.
But the beauty if MM lies in their used music section. It is here that you will find classic gems from way back that you've been searching your whole life for. Not to mention, you will find some grrrreat indie and local artists mixed in. Just take 20 mins to skim through and I gurantee you will find something you like.
The customer service could be better.
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