If you're looking for anything rare, (as in foreign, indipendant, music videos, or old stuff) I'd reccomend Bay Street Video. THey have over 5000 titles compaired to going and buying something from rogers or blockbuster when they have a selection of max 200-300. THe prices aren't that cheap, but sometimes you'll be willing to pay $30 for something you can't find anywhere else.
its at Bay and Bloor, just south of bloor on bay street.
but if you're looking for a more recent hollywood movie, you'd probably be better off buying from future shop or somewhere where the prices aren't too high