We used to have a CD warehouse and a Turtles, but they are closed now. The only places I can think of are FYE at the mall and . There used to be a School Kids Records on 9th Street, but I'm not sure if it's still there.
Have you tried online? There is still a CD Warehouse in Cary and Raleigh. There is a Record Exchange in Raleigh near NCSU.
A place called CD Alley came up in Chapel Hill. I have never been there but that sounds worth checking out.