I'm in Exeter, same as Henryt. All my stuff is mainstream, so I get it either from Sevenoaks (was Radfords - nice NAP180!) or Audio-Excellence in Sidwell Street.
Then there's Richers and Smack Generators, and if you REALLY want a good nose around, the Emporium on the road that leads to Heavitree (what IS it called!?) opposite The Pyramids pool is interesting; the owner sounds a bit like Ozzy Osbourne, is pretty chilled, and has TONNES of prog/psyc vinyl and loads of groovy seperates to browse through...