Winesearcher can help, but these last few years I have mostly been buying sherry from:

• Cuatrogatos Wine Club – a brilliant little outfit with access to sought after, small production wines of all kinds, and in particular from Jerez and Sanlucar
• The legendary Taberna der Guerrita can also supply hard to get wines by air, land and sea. Another great place to find the most exciting projects
• Coalla Gourmet – I have mainly purchased from their online store but any chance you have to go to their fantastic space in Gijon you should do it. They have an excellent selection – in particular for fans of Equipo Navazos – excellent service, and also seem able to get their hands on interesting stuff (like the Williams Añadas)
• Vila Viniteca – one of Spain’s most important wine merchants, their flagship is in Barcelona but their online store is amazing and they organize great catas in a showroom in Madrid. Particularly good at the very high end, they also occasionally have bottle aged wines and other fascinating things
• Enoteca Barolo – a fantastic bricks and mortar wine shop with friendly experts, an ever improving selection of sherries and some great catas. (This year they will be hosting a course on the wines of Jerez and Sanlucar involving no less than 11 two hour classes in 2 sittings of 30 people each: Bravo!)
• Reserva y Cata – a really interesting selection of sherries you won’t see elsewhere in Madrid, with some classics, some unique stuff, and overall a very well chosen stock of wines
• La Tintoreria Vinoteca – high quality sherries in a shop full of high quality and sought after wines
• Idea Vinos – great online customer service from these guys, and again a sneaky good selection of sherries. In fact I have just seen a wine I have been looking for on there!
• Mares Vinos – lovely little corner shop (well, a shop on a corner) with a small but high quality selection of interesting sherries and a super friendly, “Sherry Woman” owner
• El Petit Celler is a Barcelona based retailer with some great spaces and some really high end wines that has made a big splash lately. Well worth looking at
• Bodega Santa Cecilia – one (two) of Madrid’s biggest brick and mortar stores. Really good range of sherries and an unfathomable loyalty system
• Lavinia – a fast growing franco spanish wine retail empire with an improving range of sherries – a little on the premium side pricewise but you can make up the difference by signing up and going to one of their special events
• Vino & Compañia is a nice store near my office with a small but interesting selection of sherries at very good prices.
• Peña Delicatessen – a cracking deliatessen in the Chamartin market with a good selection of sherries (Barbadillo manzanillas en rama, Emilio Hidalgo to name but two) and normally a slice of ham and a glass of wine for a hungry shopper

If in Jerez itself, I would recommend stopping by La Casa del Jerez – a small but perfectly formed little store with an excellent range of interesting wines. (Needless to say, if in Sanlucar you should be heading to Der Guerrita and the Sacristia in the back.)