Lee,
There's a huge Tower Records on Broad & Chestnut Streets (the heart of downtown). That's pretty much the best music store downtown. Prices are just ok -- you can do better online almost always. There's a SACD Jazz and Classical section on the 2nd floor in the area between the Jazz and Classical sections. Though there are also SACD releases mixed in with the general redbook.
The HMV closed back in the 90s.
For live music check the listings at:
http://www.philly.com/mld/inquirer/
Since you're in to recording technology you may be interested in taking a tour of Verizon Hall a few blocks down the street. You'd probably find it's reverberation chambers interesting. The largest working organ in the world is also a block away from that Tower.