Banquet Records (support independent music stores!) send a cute hand-written note every time you order a CD from them.
How cute, right? It's those little extras that make independents worth supporting! I remember, when we holidayed in York, they used to have the best independent record store there and they had baskets of badges on the counter with a sign saying 'Take As Many As You Like'. You would never get something like that in a HMV.
Another favourite independent of mine is the epic Wall of Sound in Huddersfield.
Remember, it's worth paying that little bit extra; If HMV became the only place on the high street where we could buy music, they'd have sudden free reign over the prices. Plus, they'd dictate what music was sold to us! And HMV can have pretty terrible taste in music (no Bishop Allen!!!)
(That being said, I got the new Frank Turner EP cheaper from Banquet than they're selling it on amazon! WIN!)