I buy everything in lossless format and rarely have to look very hard - the few times I had to it turned out to be a vinyl or CD-only release, which wasn't available lossy either. I'm into rather obscure stuff, which may actually help here - I'm not sure but could imagine that it's harder to get lossless audio for the top 40.
Well, here are the stores I use: - Bleep - Boomkat - Qobuz (most iTunes-like with a big selection across all genres, including classic and jazz) - Bandcamp - HDTracks (beware, snake oil! There's no need to go above CD quality in my opinion) - Label / artists stores (yes, many labels or artists sell their music directly without middlemen and in a wider range of formats) - last resort: what.cd or buy the CD and rip it yourself
Here in europe, and I'm assuming the US as well, there's no way to buy and own a movie or TV show in a similar way. It's either DRM or physical media, usually accompanied by long delays before the release reaches europe. Or if available on Amazon Video the film often won't be available in its original language and instead only offer german (for me). Not sure how iTunes or Google handle that but in a nutshell: It's a mess and it has led me to lose interest in film and movies in recent years since a lot of the releases I've been interested in either weren't available or put up barriers left and right.