If you live outside Japan and only want to buy new CDs, CDJapan or HMV will work as long as they have what you want. Be aware that some groups do not sell on these large platforms. Amazon Japan will also deliver to some foreign countries, you will have to check to see if yours is covered.
To buy from smaller shops such as Village Vanguard or a group’s own web store, you will have to use a proxy service such as ZenMarket, which is my favorite. Terry from the Alt Idol Podcast has put together a pretty comprehensive guide on buying from shops and websites. Check it out, it explains pretty much all of it.
For buying from Yahoo Auctions you will have to rely on the guide that ZenMarket themselves put together, at least until Terry gets one written up. (Auction tutorial starts at about the 6:20 mark).