Especially for students/general skint people everywhere. Students: use your NUS card for 10% off at HMV and Tower (and Virgin on purchases over £10).

Offline shops...
You never know, you might find what you're looking for there. HMV in Birmingham currently has loads of The Blue Room EP for £6.99 and a few of Brothers & Sisters for £4.99

Sheet music
Not in shops yet, but you can get the Parachutes sheet music from musicroom.com

T-shirts
Action Records had some of these in skinny fit for £9.99:

... except the real thing doesn't look like a 2 minute sketch done in MS Paint.
They're out of stock at the moment. eil.com has them and blokes T-shirts for £20. Hmm... a bit overpriced maybe...
Bluegrape has been seen to have a quite wide (about 6) selection of Coldplay T-shirts, but that section is inacessible at the moment, or gone.

Posters
Stickitonyourwall.com and Push Posters have this poster of a photo from inside the Parachutes booklet. With added 'Coldplay' and 'Parachutes' text.


Amazon
Currently has The Blue Room EP for £6.99 and an import of Don't Panic. Accepts Solo card. Postage is extra.
Buy...
Parachutes (CD)
Parachutes (LP)
The Blue Room EP
Brothers & Sisters
Trouble
Yellow
Shiver

101cd.com
Sometimes they'll take their time with your order, but they've got a lot of imports and Brothers and Sisters for £4.12. Postage is extra but its really cheap if you opt for 2nd class postage. Accepts Solo card.
Buy Coldplay stuff from 101cd.com here.

HMV Online
Hmm... The Blue Room EP is a bit overpriced at £7.49. Could be used as a last resort though... Postage is extra. Solo card is accepted. Visit site.

CD Paradise
a.k.a. WH Smith online. You wouldn't expect this to have much but I got the Brothers & Sisters 7" off it for £2.47 :-) I don't think it sells it any more though. It claims to sell (apart from the easily got hold of Parachutes, Shiver, Yellow and Trouble) ; The Blue Room EP on CD and 12" and Brothers & Sisters on CD. I ordered those 3, both the CDs were cancelled from my order becasue they were "out of stock", but the 12" is still on order (hopefully I'll get that then). They havn't actually deleted the CDs from thier catalogue so if you try ordering them there's a chance they could get hold of them I suppose...
Postage is extra. They only accept proper credit/debit cards i.e. Visa, Mastercard and Switch.
Buy stuff from CD Paradise here.

Fierce Panda
The label that Coldplay released Brothers & Sisters on. They've still got a few copies of it left, for less than the online shops are charging. Website/e-mail.

If you're just looking for Parachutes cheap, you could try these shops that just sell albums:
CD-WOW and CD Why sell Parachutes and other albums in the top 75 album chart for under £9 with free postage to the UK.
Jungle.com : £11.98, free postage, Solo accepted. Also has some singles.
Audiostreet : £11.99, free postage, Solo accepted.
BOL : £9.99, £1 postage

For more price comparisons, Kelkoo.com is pretty good.

Netsounds is always good for rareities and promo items.