Courtesy RaceBannon42, here's the place to seek books that are first run in the UK: The Book Depository. The business model is simple: TBD will ship most books FREE throughout North America and Western Europe through various distribution channels. The book prices are generally 20-30% off list, which may be higher than Amazon UK, but ends up much less when Amazon's shipping charges are factored in for US and non-UK residents. TBD also does not take pre-orders, therefore you cannot purchase Harry Potter 7 or any other book that will be distributed in the future. TBD's prices, considering both exchange rates and shipping charges, end up generally lower than Amazon Canada's charges (Amazon.ca gets the UK books that Amazon US does not because the UK publishers will distribute within the Commonwealth -- Canada, Australia, New Zealand).
The fact is that if the book you seek has a US publisher, buy it on Amazon, B&N or wherever you get the price and service you like because the price will be vastly lower thanks to the exchange rates. If not, TBD may be a good choice. Both Wongdoer and I like the Malazan Book of the Fallen series, where the US publisher Tor is about 2 books behind the UK schedule. Similarly, George RR Martin's neverending Song of Ice and Fire has usually been released first in the UK. And if you have UK authors you like who lack an audience in the US, like my interest in Christopher Brookmyre's sharp novels, you can obtain those books from TBD for less than trying to get them from Amazon Canada or Amazon UK.