The first thing you should do is search eBay. Most hard to find soundtracks can be found on eBay from time to time. Just be sure you purchase from someone who has a positive reputation.

I also use Amazon frequently to find used movie soundtracks. In fact, often times you can buy them right away and cheaper than on eBay. If you don't mind used discs or promo discs that people have for sale (usually with hole punches in the barcodes) then Amazon is your best bet.

There are some soundtracks that have been released on iTunes that are nearly impossible to find on CD such as The Best of Millennium and The Black Hole.

Other sites you can use to find soundtracks are: