Hi,
Wave is no more I'm afraid, and there are no music shops in Roppongi (at least none worth going there for).
http://www.diskunion.jp has many branches, particularly in Shinjuku and Ochanomizu (a few minutes walk from Akihabara).
Shibuya has a very heavy concentration of hip-hop and "club" music shops in the area near Tokyu Hands.
Shinjuku has a concentration of rock/folk music shops not too far from the West Exit, but these are hard to find if you don't know the way/can't read Japanese.
The Disk Union shops in Shinjuku (behind the Mitsukoshi dept store) are a pretty good place to start. Tower Records nearby is also good (with a small but especially good early/modern classical section IMO).