You'll find the best shops between the Piazza del Popolo and Piazza Venezia
The most important shopping street, is the Via del Corso, two other street, that are more or less parallel to Via del Corso, are also important: the Via di Ripetta and the Via del Barbuino.
You best take the metro to either Pizza del Popolo or Spagna (the Spanish steps): they're both good starting points.
In the (smaller) cross-streets (connecting the above-mentioned shopping streets), you'll find some of the most famous fashion shops in the world (just look, don't buy).
Closer to Piazza Venezia, there are various large 'gallerias', you'll find several bookshops there, that also sell DVDs
Most shops in this shopping area are also open on sunday
Note that few Italian spaghetti western DVDs have other than Italian audio
(Releases of American westerns often have English audio)