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Surprisingly, the large chains were the first to go. Virgin Records, in Union Square. The Megastore in Times Square. Circuit City in Yonkers. Still, the saddest I'd ever felt about hearing a record store closed down was not a major chain, or even a nearby one. It was one of the few stores I would frequent on my walks, vacationing in downtown Falmouth, Cape Cod, Massachusetts. "That record stor…