Fossil,
Most of my CDs come from the cheap section at HMV (usually Braehead, but they have nothing good at the moment) or Fopp, (I prefer the Byres Road one, but I believe that Union St has a better selection of world music.
A salsa staple is the Buena Vista Social Club which is totally fantastic. It all depends what you want it for, Cuban is better for dancing (for me anyway, my lessons are in Cuban Salsa) but NY and LA is invariably better to just listen to. Nu-Yorican Salsa Caliente (5 quid at Fopp last time I looked) is probably my favourite to listen to, while Latin Soul (crap generic name, but look for a CD cover with people dancing in the rain on a red background) is my favourite for dancing out of class. The Merengue/Bachata entry in the "Rough Guide" series is also well worth a look.
However, I can more than recommend taking the classes,
http://www.academiadesalsa.co.uk, the next absolute beginners one starts a week on Wednesday.
Oh, and the band were absolutely stunning, what a great night, now to get some sleep, have to be at my desk in 8 hours.....