There are really only 3 record shops here. One of the best, in my opinion, is Twist and Shout. It is on East Colfax, right next to the Tattered Cover bookstore. Great selection of records. They have a parking garage. Just turn onto Columbine and go to the back of the store. Another good one is Wax Trax. It is just down the street a little bit west on 13th Ave. The only downside to Wax Trax is you have to park on the street. I can usually find a spot a block or two to the east, as you are heading down 13th. The other store is Black and Read. It is located a ways west, in Arvada. Around 80th and Wadsworth. Their vinyl selection is so-so and their prices seem a bit high. Since I live quite a ways south, I dont go there very often as 80th is a good long way north for me to drive.
If you dont mind a drive, you could head down to the Springs about an hour south. They have two Independent Records stores there. A small one on East Bijou, and a bigger one on East Platte. The few times I have been in them, they had a pretty good selection of vinyl.