These questions are way too broad.
Please explain what information you want!
Best places to buy - depends again, but
Japanese imports:
www.cdjapan.co.jp - prices are expensive but that's because the products are Japanese - and very expensive shipping, your best place to buy though
www.otaku.co.uk - pricey but ships from UK, also has many items that other retailers don't (e.g piano sheet music!) Also stocks R1 items
www.gamemusic.com - Japanese sheet music/cd imports - ships from America - pretty pricey - they mark things down so they can get through customs though if you ask
R1 imports:
www.dvdpacific.com - cheapest by far, and usually cheapest for boxsets even with the £8 customs charge + VAT - eriously, DVDPacific's surface lift shipping has never got lost in the hundreds of items I've bought, and is always packed extremely well - awesome customer service
www.up1.co.uk - cheaper than otaku.co.uk but still more than you
need to pay - listings are brilliant though, and excellent customer service
www.animecornerstore.com - occasionally gets in long out of print items - has a good relationship with distributors it seems, so they can get stock very quickly (I've got the Trinity Blood/Negima/Basilisk/FMP-TSR + Hellsing Ultimate 1 LE from there, months after they've been off the market) - only worth buying something there if it's extra special though, or you can't find it anywhere else - expensive shipping, but they mark down prices for you if you ask so it can get through customs - customer service is good, but I have several annoyances about them which I'll save for another time
Manga:
www.up1.co.uk - I always use them, cheap enough - excellent listings - excellent customer service on everything - very well packed
www.amazon.co.uk/.com - listings suck - delivery generally very good - sell things that are out of print/stock from many other places (I'm guessing because they have a huge warehouse)
www.bookdepository.co.uk - not used myself but heard good things (mainly from Citizen Geek : D )
UK DVDs:
www.sendit.com - standard prices/shipping included in price/have good sales
www.play.com - same as sendit really
www.anime-on-line.com - not used before - sell some exclusive items - MVM's retail entity - I would assume they're fine
Everything:
www.ebay.co.uk - of course
Horror anime - off the top of my head - out of the ones I've seen - Perfect Blue. Varying degrees of violence/horror on various other series.
Ones I've not seen, I guess Berserk and Elfen Lied would fit into that category, oh and Gantz. Many many more though. Try and find some lists in the horror category. Oh not to mention the Samurai X/Rurouni Kenshin OVA's - not horror though
Links for horror filtered anime -
http://anidb.net/perl-bin/animedb.pl?sh ... &genid=154
http://myanimelist.net/anime.php?q=&typ ... 5B14%5D=on
Directors/producers that always make consistently good shows - for a start that's an impossible question so I'll list some of the renowned ones that everyone's heard of - off the top of my head - Satoshi Kon - Mamaru Oshii - Masamune Shirow - Hideaki Anno
As I'm this far I might as well continue.
I'll add R1 to this if that's what you want, later.
UK companies:
Manga - always put out much cheaper releases than its competitors, most are usually straight to boxset releases. Collections are in a slipcase, as are most single volumes, which is alright. Ghost in the Shell:Stand Alone Complex was an exception - which had the two R1 metal boxes, and thinpak collections, and dual disc releases. Has had problems with faulty discs and dubtitles, but the dubtitles are sorted out. Also has a variety of older anime, but are probably out of print now. Generally very good for the money
ADV - never put out artboxes, collections are m-lock style, prices are high. Vast catalogue of titles though, generally very well presented
MVM - vast catalogue of titles, has done artbox releases for some older series, and puts out quality boxsets (Samurai Champloo was a thinpak with a bandana), others can talk about their other boxsets though
Revelation - the company Funimation chose to release all its titles for. Is putting out artboxes for all upcoming releases. Very well priced releases (£15 RRP instead of standard £20) - exact conversion of the $30 RRP
Beez - Bandai's Europe branch. Standard priced releases, exceptionally well presented. Offers many extra's that other UK producers/distributors do not, and puts out high quality artbox collections for most releases
Optimum - release all Ghibli films, and were planning on releasing Brave Story - but that has since dissapeared.
As usual, I've probably left some out, but that's a good start isn't it? : p