The Dark Angel (UK) - Really nice gear, good quality stuff! Tends to be more 18th than 19th century, but check it out for their fancy waistcoats and stylish dresses!
Xtrax (GER/UK) - One of the biggest 'goth' clothes shops in the universe. A bit cheaper than many such shops, huuuge selection of gear, there will be SOMETHING that you like in there, honest.
Alley-Cat Metal Wear (UK) - Handmade gear from plastic and rubber. Quite expensive and as it's hand made, quite a long wait to get what you order (sometimes you have to 'remind them' you've made a purchase and they get a move on) but what they do make is totally original and very good stuff. Has a steam punk section on the website index.
Vicious Kitten Couture (UK) - Quite expensive, but VERY fine selection of ladies clothing. Most of it leaning towards the sexy, if you are into that sort of thing. Having said that, quite original and good gear, check it out!