I use all the following on a regular(ish) basis. The ones I have used the most over the last four or so years are probably discogs, gemm and ebay, but you can't beat the reliability of the individual stockists. dswat and praxis are my personal favourites.
http://www.dswat.com/ -- good for any new electronica / breakcore
http://www.urban-decay.co.uk/ -- good for breakcore but a little pricey
http://praxis.c8.com/catalog/ -- good for anything dark, mainly breakcore, have really rare stuff on sale, and postage is excellent value.
http://www.toolboxrecords.com/ good for lots of different dance, strange genres though and very european, sometimes difficult to understand the descriptions of some genres / records. Good ragga jungle section.
http://www.dogsonacid.com/ -- good for dnb
http://www.chemical-records.co.uk/ -- good for dnb
Obvious ones:
http://www.boomkat.com/ -- good for most dance and beyond!
http://www.juno.co.uk/ -- good for any dance
http://www.gemm.com/ -- good for ANYTHING, especially the most difficult to find releases, very rare stuff but sometimes pricey
http://www.musicstack.com/ -- like gemm but not quite as wide range
http://www.discogs.com/ -- started as information for every release on every dance label, but has now expanded to most areas of music! Also there is a chance that any release you can think of will be on sale here, and you can also ask people who own the item if they want to sell it / trade etc, really good community.
http://www.ebay.co.uk/ -- obvious, can be very expensive, but every now and again you can get a bargain