I don't know of a specific one, but try looking at the Nandaemun Gate area. That's where I saw a lot of gadget shops (mostly cameras). They might have some A/V shops as well, but don't take my word for it.
Also try Insadong. It's mostly arts and crafts plus an anime toy museum. But I had only walked up to the Andy Warhol-esque mall before turning back -- there was much more to see on that street so that's something you can try as well. Else, the numerous malls near Dongdaemun Market should have some DVD shops.
What you can also do is take the Seoul City Tours Bus. It's this blue bus that makes regular stops at all the tourist traps for about 13,000-17,000 won for the all-day pass. One of the stops is in an area filled with Audio/Video stores (sorry, I can't recall the name offhand right now).
