I'd also suggest Columbiahouse.com provided you don't mind manually having to accept/decline their director's selection of the month.
If you're going to go with Columbia House, do yourself a favor and read some of the threads here. They have Columbia House down to a science and can help you maximize your dollars.
Is Columbia House a US/Canadian thing only or can us on this side of the Atlantic buy there too?
I think it's US/Canada only. But not having tried before (since I'm in the US), I couldn't say for sure. But you could ask on that forum I linked to and I'm sure someone would know.
