Where to Shop
As one develops an interest in Handel beyond his ubiquitous Messiah, one might benefit from information on where to find this other music. You have a few options that you might try, depending on your preferred format and price range.
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Classical Music Stores
One obvious choice is music stores that specialize in the Classical. The online store arkivmusic.com has just about everything you would want. In Portland I recommend Classical Millennium (the annex of Music Millennium on about 35th and Burnside). They have a great selection, and can order CDs for you that they do not carry. They have been very useful for me.
Disadvantage: Buying retail can be very costly.
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Ebay
At any given time there are hundreds of Handel auctions going on. Many are for CDs that are not worth bidding on, but others are incredible bargains on hard-to-find recordings. The vast majority of my collection has been built by keeping a vigilant eye on Ebay.
Disadvantage: Bidding on music one has not heard can give mixed results.
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Libraries
Check your local ones to see if they have a cache of Handel’s works. If you are a student in college, check if your school library has a music selection. You may find you can preview some great works without spending any money at all. And you can perhaps make yourself a copy if you have the technology.
Disadvantage: The music may be checked out, and you may be reluctant to give it back.
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Old Record Stores
I have found that most LP stores out there have at least a few boxes of old classical music tucked away in a corner. They are frequently eager to get rid of it, and discount it greatly. If you have a turntable and like the way vinyl sounds, check around at these stores for Handel. An oratorio that costs 30+ dollars on CD might be a steal on LP.
Disadvantage: Again, you have to know what is worth buying, otherwise you will amass a music collection that is not only bad, but takes up far more space than it would on CD. (To insure good buys, look for box sets, or reliable conductors such as John Eliot Gardiner, Charles Mackerras, Trevor Pinnock, or Christopher Hogwood.)
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Downloading
This is actually the one method I have not tried. Perhaps it's my old fashioned side, but I like having hard copies of music. Because of this I am unable to direct you to any relevant sites, but undoubtedly they are out there. Also excerpts of many works can be found on YouTube.