I have no idea about places to buy anime outside of Sweden. But I'll contribute what I can for swedes. It's not much though.
http://www.webhallen.com/ (has a section dedicated entirely to anime, rather good reference)
http://www.sfbok.se/ (the only place I know of that deals with manga in sweden)
I'm sure there are lots and lots more places in Sweden. But this is what I can come up with right now.
Good initiative anyway, Megane. I'll come back with more if I can come up with anything.