The Mercado Negro is the place to pick up undocumented merchandise, much of it bootlegged, and just about anything else you may hope for. Be especially careful when wandering around this part of town: it's notorious for rip-offs and light fingers.
In the case of CDs and DVDs, vendors make no effort to conceal its origins: the covers are merely photocopied. It's also good for imitation designer clothing and inexpensive camera film. The best place for electronics is along Eloy Salmon.