I prefer vinyl. A lot of people don't know that they still make them. I have a lot of newer albums on vinyl: TOOL, Nirvana, The White Stripes, Weezer, Jamiroquai, The Black Keys, Metallica, Pearl Jam, STP, Soundgardern, etc...
Oftentimes vinyl albums (even brand new) are cheaper by a buck or more. The Franz Ferninand album I have came out a week earlier on vinyl than it did on CD. Lots of good places to get records in Seattle (Easy Street Records).
Suprisingly,
http://www.circuitcity.com/ is a good source for new releases. Just click on their advanced search and type in the band/album you're looking for. Unfortunately, you can't just browse a master listing of vinyl albums, so that's a bit of a pain. E-bay is okay for finding newer albums. Some of the web sites out there selling them are a major ripoff. Some have good deals.
http://www.acousticsounds.com/ comes to mind - their bargains vary from good to bad.
I had a lady at church give me all of their old albums after I mentioned that I collect vinyl. I've had a couple friends/relatives do the same. Thrift stores can be real good too, you just have to be careful assessing the condition of the disc you're buying. Some used record stores will let you listen before you buy.
Umm... keep your records clean. Read about how to do it best. Makes all the difference in the world. Buy a decent record player. There are better ones on the market now than there ever have been. Stay away from ones made for DJs. Look to spend about $400 to $2000 and you'll get the kind of player that makes you not want to listen to CDs anymore (if you've got
real high-fidelity speakers to back it up).