Amoeba - Upper Haight - One of the biggest and the best in the Bay Area
Aquarius Records - Mission - Great indie shop with lots of psych, experimental, indie world and metal among others.
Instruments
Lark In The Morning - located in The Cannery at Del Monte Square (map) 2801 Leavenworth and Beach at Fisherman's Wharf - a great place for all kinds of strange and unique ethnic instruments.