Of the Amazon marketplace sellers, I've often used import-cd_specialists, dvdlegacyuk, and caiman__usa. All reliable, no problems with any. Caiman__usa (based in Florida) deserve a special mention for being super-quick, friendly, and usually the cheapest.
Had no probs with CDWOW either.
CDs are sent singly, thus avoiding duty charges (I think the limit is £15 value). With postage, most work out around seven quid, even for stuff that can be impossible to track down here. The postage makes up around £1.30 of this. Just remember that track listings can differ region to region, you will occassionally miss out on a bonus track or two that appears on the UK version.
Kev.