Shimokitazawa is a good place for indie shows (Shelter, Club Que) and there's a great indie shop here -- if you're after Japanese indie only, and you're willing to deal with a substantial language barrier to get it.
Shimokitazawa is pretty easy to access from Shinjuku or Shibuya. Take the Odakyu line from Shinjuku or the Keio Inokashira line from Shibuya. Every train stops at Shimokitazawa. The ride's no more than 10 minutes.

There's only one ticket gate at Shimokita and two exits. Walk through
the ticket gate and turn left. Walk down the stairs and this is
what you'll see:
Walk straight ahead toward the McDonalds and pass to the right of it
as you walk down the shopping street. Walk maybe 200 meters, passing a
Hasegawa restaurant (unmistakeable "cute" octopus logo), a Mister Donut,
and J Crew (the J Crew may not be there anymore) on your right. When you get to the corner below, make a hard
left.
Walk up the street 75 meters until you reach High Line Records. It's
in the basement.