There are many and various specialist, "one-stop", shops specialising in the TV market. You may have come across them. If so, you will have realised that they are a total rip-off and exploiting us for all that we are worth. Avoid, if you can, like the plague. Some are worse than others. The most prominent, Transformation, is notorious. When I visited, I was most amused by their stock of "literature", which was rank pornography. Also, their stock of clothes was heavily orientated towards the "ballgown and underwear" market. These shops could be useful for the collection of different articles under one roof, and the element of discretion, but the excessive premium is generally not worth paying.
For most requirements, your average High St. contains all that you require, and the best places will be noted in the relevant sections. It can be a bit embarrassing at first, but if you are concerned about being spotted, try a town that bit further away, and for those of us in the South, London is of course excellent. Christmas is a good time, especially for underwear, though any time of the year is OK. One can always invoke the "it's for my wife/girlfriend/mother's birthday" excuse. To be honest, it is also more fun to shop normally - the range is much better.
There are only three things that one needs a specialist "one-stop" shop for: wigs, breast-forms and waist-clinchers/corsets, all of which need not be essential. In many instances, it may depend on precisely the look you are going for. For all but the breast-forms, it is best to shop around, and head for the real specialist shops that are primarily marketing the items in question.