My favourite shop is Ultima Thule in Leicester - thanks to the Freeman brothers for the ultimate source for Krautrock. Also the Freemans "Crack in the Cosmic Egg" Krautrock encyclopedia is a work of genius.
Someone asks in the comments if Ultima Thule is still going - I can confirm that it is. Sadly, however, I no longer live in Leicester and don't get there as often as I would like.