Which model player are you looking for ?
We purchased our LG BD570 a couple of months back, via New Town Plaza in Shatin, level 5, where all the AV stores are located on the one floor. We got ours for a little under $2K, which I am pretty happy with the price, and love the extra benefit of its built in WiFi capability, which acts as a media server to stream movies via other DLNA supported media devices.
For higher end models, lots of independent AV shops are located on the higher floors of Times Square in Causeway Bay ( HK Island ), and Mong Kok ( Kowloon side )via Yau Shing Commercial Building, 51 Sai Yeung Choi Street & Fa Yuen Commercial Building, 75-77 Fa Yuen Street, Mongkok. Prices are generally a little more negotiable in Mong Kok, if you are willing to haggle. When I purchased my HD projector there a couple of years back, my final price for a HK authorised model, was identical to what they were going for, in the USA, so it does pay to negotiate.