Mostly, I buy locally, but occasiionally go online. Good sources depend on what you're looking for, but a few are...
www.CircuitCity.com - Oddly enough their online site has a pretty good vinyl collection at good prices and they ship quickly as well. Just click on the other formats buttons when you're looking at a record and if its in print on vinyl, they'll usually have it.
www.scratchrecords.com - A Canadian record shop with a pretty big catalog. Their prices are really good and they ship pretty quickly too. The only problem is I've found they have more listed online than actually in stock. You place an order and then they email you with what they actually have, so it can be a pain and ads a step. But, their selection is still actually pretty good and like I said, good prices.
www.insound.com - They've got a pretty good vinyl selection, especially if you like indie rock kinda stuff. They sometimes have vinyl versions of more mainstream stuff. They may run a buck or two more than some other spots, but not bad. The site is weasy to use and what they list in is always actually in from my dealings. Quick but a little expensive on the shipping.
www.forcedexposure.com - Only indie label stuff here, so if its majot label, don't even bother. Great selection of small to obscure labels though.
www.turntablelab.com - DJ oriented site that carries a good selection of hip hop and electronic stuff. Decent prices and some good free bonus stuff with some items.
www.ebreggae.com - Best reggae selection anywhere. If you want reggae vinyl, this place will have it and have it at a good price or its gonna take some serious looking.
There's more, but those are the only ones I can remember ordering from off hand. There's the audiophile vinyl places, but really those folks are too expensive for me, although they do havegood jazz reissues and not all of them are priced high. If you like jazz look for the OJC reissues. They have great titles and are cheap. There's also a UK site called diversevinyl.com with a great selection, but it's expensive for me in the US.
Otherwise, there's always Ebay if you're really looking for something specific. There's also
www.gemm.com, but I've had poor luck with that site, although Ive heard other folks have found good deals there.
OH...and that Tricky album shouldn't be too hard to find on vinyl, especially since its not too popular, although personally I like it. I picked up a copy for like 5 bucks locally. They probably pop up on Ebay pretty reasonably and often. Anybody remember the online game on Tricky's site when Blowback came out where you had to blow smoke in the chicks' mouths to keep them up in the air...or high I guess you could say?