I don't think the equivalent of HMV exists here in China. Piracy and a belated awakening to the awesomeness of rock and alternative music has ensured that the music market stays confined to it's small cell. There are more and more small, independant record shops popping up in Beijing which should be supported. There's one in 798 called Sugar Jar (opp. Galleria Continua) which specializes in Chinese rock and folk music. You'll find all the albums of Chinese rock/folk bands who've ever released an album here.

I also know of a CD shop on Xinjiekou. When you walk south from the subway station you'll eventually see it on the left hand side. They sel DVDs, note books, posters and of course CDs (selection of Western pop and rock as well as some Chinese rock albums.)