ArkivMusic is an online music store with a vast selection of recordings and is constantly working on remastering and reissuing formerly out-of-print releases. Searchable by ensemble, performers, composers, and works.
If you are looking for sheet music or orchestral scores, there are many resources avilable to you.
Gilmore Music Library, located in the Sterling Memorial Library, is known for its vast holdings of musical archives.
Foundry Music, located at 102 Audobon St in New Haven, offers a fine collection of sheet music.
The International Music Score Library Project (IMSLP) makes public domain free scores available online.
Hickey's is an online resource for purchasing sheet music.