There's a lot of good stuff in Shinjuku, concentrated in a small area northwest of the station (Nishi Shinjuku 7-chome).
From inside Shinjuku station, follow the signs to the
Marunouchi (red) subway line. When you get to the Marunouchi ticket gates, look for
Exit
B14. Go up the stairs and out onto the sidewalk. Turn right and this
is what you will see:
The building that says Epson is an excellent landmark. Walk toward
it. Stay on the same side of the street. When you get to the corner you'll
see this:
Cross the street. Continue walking in the same direction on the same
side of the street. You'll pass Das Gemeine first, on the right side.
I wandered into Das Gemeine one day and they had a great selection of (mostly U.S.) indiepop.
Daikan Plaza A602
Nishi Shinjuku 7-1-7
Shinjuku-ku, Tokyo
http://www.dasgemeine.com
Rough Trade used to be a great shop on
this same street, but, sadly, it's gone. They opened a new store in Harajuku but
I've never been there...
http://www.roughtrade.com
Vinyl Japan
Vinyl Japan is my favorite record store in the world. You will be awed by what they have.
Seiwa Bldg 2F
Nishi Shinjuku 7-4-9
Shinjuku-ku, Tokyo
Go up that spiral staircase to the second floor
(2F) and you're there.
Tiger Hole / Loft
I only went there once, when I was looking for a Marsh-Marigold release, and they had it. Wish I'd had time to go back here.
This one's around a corner, in the basement. May be hard to find. I'm not sure how to pronounce the first kanji, let's say it's "Dai":
Daikuro Building B1
Nishi Shinjuku 7-8-11
Shinjuku-ku, Tokyo
http://www.tigerhole.com