Yay! Well, I just decided to show you the shops one beside one.
The CD I will use is for pricing is Action.
If appliable, all taxes are included in the cost
First shop : CDJapanCDJapan is mainly known to ship oversea Japan's large exclusive techno CDs (Eurobeat, Trance...). Anyway, price side, it's 3059 yen for Action. Shipping is 800 yen for Air Mail and 1200 yen for EMS (Priority). Japanese's taxes are included already in the price. The website is loaded in English by default. They also have their Japanese side called "Neowing". The special thing about CDJapan, beside the fact it's a little more expansive, it's the Frequent Shopper Points. Frequent shopper points are points you receive after a purchase depending on his price and weight. For Action, it is worth 87 points (87 yen). Also, you can register your birthday to receive, annually, 300 points. Each points you gain after a purchase (I mean, after you clicked the last button of the checkout) will add to your existing points. They can be used during checkout (at the total screen, the one you see how much you have to pay), you can apply the points in units of 100 points, which is equivalent to 100 yen. I mean, you can use 400 points during an order, but not 401 points. You need 500 points to be OK again.
Database side, they have a pretty good database on everything. Including Japan Bonus US artists. Example : I searched for Sum 41 and there was results. A lot of them actually. Also, if you happen to pre-order with Airmail, it happens that the item ships 1-2 days before the release!!
For the ergonomy and the ease-of-use of the website, everything is pretty well explained. The only thing is the search box. Instead of writing Artist/band, they wrote People. It can be confusing. Also, searching for Japanese artists can be a pain, but, if you only write only a part of their name, it's OK. Also, CDJapan is the only shop where you can choose your currency. Once you choose your currency, the green text that was US dollars (yen -> US) will become your currency (yen -> your currency).
Pretty good shop. I use this one the most when I buy stuff

Summary :
Shipping : 800 yen for Airmail, 1200 yen for EMS
Price of Action : 3059 yen / 29.45$ US
Special : Frequent Shopper Points (see description).
Default Language of Website : English
Positive points- Shopper points
- Bonus points for our birthday
- Good interface with default interface in English.
- Good overall product library
- Custom currency
- Pre-order items can ship a few days before release
Negative points- No shipping special...
- (small negative) Search box : "People"...?
Lebon's appreciation : 9/10
Second shop : YesAsiaYesAsia... It's considered the best for Jfans because of the free shipping. Well, maybe, but, if you consider some other stuff, it's a medium shop. If we look futher, it's based in China. Some countries denies anything coming from China. It's a fact, thus, truth. The product library is... kinda bad because they only have product that has been released in 1999 and later. A shame. Also, if you buy a single... shipping is not free. You need to buy at least another one.
The interface is in English by default (Phew!) and the site is not bad at all. The prices are a little less expansive than on any other Japanese stuff sites. Why? CHINA!!!!!!!! But, it's only 1$ US difference...
The rest is pretty straight forward. There's a thing that YesAsia has that no other has : Any-region DVD-players

Those are for those that don't want to care with AnyDVD on their computer. Those are useful for region 1,3,4,5,6... and 7? to play the DVDs you buy.
*For info, Region 7 is a region for planes, cruises (botas...) DVD players... Wow... a region for them.
Summary :
Shipping (for one item) : 0 yen (super saver only, 25$ and more), 3$ US (Regular), 6$ (Express), 9$ (Express Air).
Shipping charge for each added item : 0 yen (super saver only, 25$ and more), 1$ (Regular & Express), 2$ (Express Air)
Price of Action : 2966 yen / 28.75$ US
Special : Free shipping on super save if 25$ and more order.
Default Language of Website : English
Positive Points- Oversea versions...?
- Free shipping for the most patient buyers
- Electronic products
- Good interface
- Good prices.
Negative points- Small music database (1999 and onward)
- Emphasis on oversea products
- Based in China, can produce problems.
Lebon's appreciation : 7/10
Third shop : HMV JapanThey probably have the best B'z library on the net... From the first single to the last DVD... Wow. I'm really astonished. They have everything... (except Film Risky and Just Another Life which are Out Of Print) at the usual prices. But tou know, they are specialized in music, dvds and books. So, it's normal. They have a pretty good techno compilation CDs too (Yes, yes, I'm always after Eurobeat heh...) but not as good as CDJapan. Why? Example. Search "All" with "We Love TechPara". There are now 8 releases of those now... How many results? One. CDJapan? All 8 including DVD only releases (Parapara routines DVDs...)
Anyway, I think HMV Japan is the direct concurrent to CDJapan to me. Same prices... bad shipping prices... (thanks Djinn (what element btw?))
Update on shipping :

I finally found the prices... instead of using the "shipping" term, they used "freight".
I will let the good/bad points talk.
Summary :
Shipping : See above.
Price of Action : 3059 yen / 29.45$ US
Special : Some rabates..
Default Language of Website : Japanese
Positive Points- Extensive JMusic database.
- Good item prices.
- Some rabates on some items.
- Easy to understand site
Negative points- Shipping charges.
- Japanese site by default.
Lebon's rating : 8
Fourth shop : Amazon JapanAmazon Japan... is probably the worst store you will have to face. In fact, it's not bad... it's just the English version is secondary and the pages are half translated. Shipping side, it's 2000 yen every where in the world. EXPANSIVE!!!! (I just ordered B'z live in Namba there coz it was 26% off). The also the points system CDJapan has. The interface is hard to understand. You can't create an account with the "create new account" we habitually see. Also, the English side of the website is half Japanese/English which makes it hard to understand sometimes. But, everything is okay during Checkout (phew!). Everything is in English.
Pricing is the same that on CDJapan except that they have some specials sometimes. The seach is pretty straight forward... select the category & hop. Japan's taxes applies.
The great thing about Amazon japan is the dept of their libraries. You can still order Dakara Sono Te Wo Hanashite, which is B'z's 1st single. They still have lots of stuff that CDJapan or YesAsia doesn't have.
BIG EDIT : SHIPPING INFOSAmazon is really a bitch for International shipping.
Look at this :

More expansive than them, you die. Each item you add is 300yen for North America and the rest of the world...
For Japan... they have good price... pff. Look :

I must say, Japanese are lucky bastards.
Summary :
Shipping : See above.
Price of Action : 3059 yen / 29.45$ US
Special : Frequent Shopper Points (see CDJapan's description).
Default Language of Website : Japanese
Positive points- Big library of products
- Shopper points
- Rabates
- Straightforward search
Negative points- Shipping for oversea is WAY too expansive.
- Interface is half Japanese/English during shopping and Japanese by default.
- Interface is annoying.
Lebon's appreciation : 5
Bought something there once and I will never order there anymore.
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I hope it'll helped you to know of the JMusic stores online.

EDIT
Frequent Shopper Points : Frequent shopper points are points you receive after a purchase depending on his price and weight. For Action, it is worth 87 points (87 yen). Also, you can register your birthday to receive, annually, 300 points. Each points you gain after a purchase (I mean, after you clicked the last button of the checkout) will add to your existing points. They can be used during checkout (at the total screen, the one you see how much you have to pay), you can apply the points in units of 100 points, which is equivalent to 100 yen. I mean, you can use 400 points during an order, but not 401 points. You need 500 points to be OK again.
From the CDJapan comparision.
For Amazon's points, I don't plan on using them (after buying Live In Nanba) because the site sucks big time for shipping.
EDIT 2
Edited some stuff Arthuro pointed out
EDIT 3
Shipping info updated on Amazon Japan.
EDIT 4
Shipping info updated for HMV Japan