It depends a lot on where in St. Louis you are -- downtown St. Louis is fairly small, but St. Louis County is huge, and you're probably not going to want to go milling about the whole county looking for a store.
That said, if you're around University City (which is fairly close to downtown), you should try hitting Vintage Vinyl. Their prices on new CDs and DVDs can be a little iffy, but the used ones are usually a good deal. Plus, the store's located in a part of St. Louis called The Loop, which has a lot of good restaurants and theaters. (Just don't stray too far from The Loop -- some of the nearby neighborhoods aren't that great.)
I'd also look into the Slacker's chain. They're primarily a video game chain, but the store near me had a pretty wide range of CDs and DVDs too. Be warned that the stores attract a lot of teenagers, so you might feel a little out-of-place.