My favorite is actually
HMV. What's great about them is that their discounts are comparable to Amazon JP's (around -20%), but they also have cheap EMS shipping. It's 1500 yen no matter the quantity and it's fast. They have a point discount system that can save regular customers quite a bit of money. They also translate most of their offered items.
CDJapan has lots of shipping options, but they generally don't offer any discounts. They do have a point system though, and they're famous for good overview of their inventory, so you can generally know whether you're buying a limited edition or a regular edition, even if you think you're late for (pre)ordering those.
Amazon JP's weakness is their ridiculously expensive DHL shipping. They stopped their economy shipping back in March, so you're forced to use DHL. They have recently implemented the point system though.
The only problem I have with HMV is that you can't apply to their affiliates program unless you have a Japanese bank account. I'd really like to link to them from my blog more often. ^^;