Music
HMV
HMV is one of the bigger record stores in Japan with a good selection of music and movies. HMV has 2 locations in Shinjuku: one in Takashimaya Times Square and another on the 6th floor of Lumine Est.
Tower Records
Tower Records is one of the biggest record stores in Japan. They have any CD or DVD you can imagine, and if not, you can probably order or reserve it.
Tsutaya
Tsutaya is a major video/music rental store but the Shinjuku shop sells a large variety of music, games, and videos. They also have a decent variety of used products at reduced prices.
Disk Union
You can get music, movies, and music books. They have a large selection of used goods with over 10 locations. Aside from the main branch, other branches specialize in specific genres or goods. This shop is great for music enthusiasts.
Nishi-Shinjuku 7-chome
Packed with music shops specializing in various genres such as punk and heavy metal. Many sell nothing but bootlegs and collectibles.
Department stores
Isetan
Isetan is one of the most popular department stores in Shinjuku. It caters to a broad 20+ age group. It has a beautiful depachika basement floor selling food and gifts that is a little more expensive than other department stores in Shinjuku.
Takashimaya
Takashimaya is the Southern most department store in Shinjuku located between the JR Shinjuku and JR Yoyogi stations. This department store caters towards the mid-20s and up, along with families. The depachika is comparable to Isetan, but not as famous. Look for Tokyu Hands and Books Kinokuniya at the Southern end of the department store.
Mitsukoshi ALCOTT
Mitsukoshi ALCOTT is an upscale department store that caters more towards the upper class shoppers. However, they still have a variety of reasonably priced shops and a large book store occupying the top 3 floors.
Marui
Marui is well known department store known for focusing on the 16-32 year age group. Spread out around Shinjuku Sanchome, the main building is located next to Shinjuku Gyoen. The men's building is located North of the main building and Marui Young is located West of Isetan.
Keio
Keio is similar to the Odakyu department store in terms of goods and services. The depachika is smaller and more cramped than Odakyu.
Lumine
Lumine has 3 buildings around the JR Shinjuku Station. Lumine 1 and 2 cater to all ages with average priced goods. Both buildings are located at the South Exit. Lumine Est is located at the East Exit and Central East Exit. Lumine Est focuses more on haute fashion for younger women and famous restaurants.
Odakyu
Odakyu is the largest department store on the West side of Shinjuku Station. It caters to the 30+ age group and has various buildings. Mylord is located behind the Keio Department Store and caters to a younger age group. Halc is located South of the West Bus Loop and focuses on sports clothing and electronics Bic Camera's largest Shinjuku location is within Halc.
Books
Junkudo
Junkudo is a major book store that carries a lot of Japanese language books. Their specialty is carrying hard to find books.
Books Kinokuniya
Books Kinokuniya is the best book store for foreign language books. The Main Branch is the older of the 2, however, the Southern Branch is bigger and has a greater selection of foreign language books.
Bookoff
Bookoff is a well known second hand book store. They also offer various albums, games, and movies. The closest branch to Shinjuku Station is South of Southern Terrace. Alternatively, Nishi-shinjuku 7-7-29 you can head North from the West Exit, or Shinjuku 5-2-1 North of Shinjuku Gyoenmae Station on the Marunouchi Line.
Variety goods
Don Quijote
A hectic 24-hour discount store that sells just about everything that you would never imagine needing at three in the morning but might just pick up anyway, such as clothing, bicycles, electronics, jewelry, and gag gifts.
Tokyu Hands
This is a large variety goods shop, and if "large" doesn't impress you, you have probably never faced the dilemma which kind of sand to use for your model railway. Because here, you can choose from a dozen kinds of sand alone - from yellow Sahara sand to reddish Nullarbor sand, everything in handy plastic packets. This shop is the best proof that in a rich mega city, there is a clientele for anything. You can buy almost anything you want.
Electronics
Bic Camera
Second-largest electronics shop in Shinjuku. While not as big as Yodobashi Camera, prices and product range is roughly the same. The East side shop, located near Mitsukoshi ALCOTT, next to Books Kinokuniya, is bigger than Yodobashi's East side shop, but still smaller than the West side location.
Major discount camera stores are concentrated on both sides of Shinjuku station, although there is a particularly large cluster just outside the West Exit. The undisputed king Yodobashi has branches on practically every block; note that the branches specialize, so you may have to look for the right branch to find what interests you digital cameras, video cameras, medium-format photography, etc.. The other major name is Bic camera. This store have been transformed by computers and the Internet, and their computer departments match Akihabara in volume, price, and selection.
Yodobashi Camera
Yodobashi is the largest electronics retailer in Shinjuku. The main building is their multimedia centre. They also have a dedicated Games building, Camera building, and Watch building among others. Yodobashi also has a branch on the East side of Shinjuku, across from Lumine EST.
other
Between the underground entrance to the Keio department store and the taxi rotary is an area hosting a rotating series of stalls or exhibits. Some recent stalls/exhibits have included various local foods from around Japan, furniture, and information about various government projects around Tokyo.