Japan has a relatively smaller, albeit potential market for Legos. As you may suspected, Lego prices are a bit pricier than the rest of the West. However, there are a lot of fans who'd kill to import any sets that don't officially sell here. Yes, we don't get most creator and exclusive sets and that's why we use importers and even pay a little extra for it.
Unless you do your price searching very well, I wouldn't recommend buying Legos here. Nonetheless, with a little research and some browsing, you may end up getting great deals for a certain set you're looking for. Some pawnshops ( the Book-off chain ) occasionally sells used Lego sets. Of course it's worth browsing the shops whenever you have the time touring Japan.
Here are some of the SRP for some sets ( incl 5% tax )
*Exclusives ( non-Japanese market items )
Emerald Night 10194 ¥21,000
Grand Emporium 10211 ¥26,000
City bank and money transfer 3661 ¥14,800
Public transport station 8404 ¥15,300
Lego trailer truck 3221-1 ¥6,300
Lego airport 3182 ¥15,750
Compact car 3177 ¥735
Cargo train 7939 ¥27,300
Fire truck 7239 ¥3,990
Space shuttle 3367 ¥5,775
Police boat 7287 ¥6,300
Container ship and harbor 4645 ¥11,550
(yes, and like all licensed items, they cost a lot! )
Geonosian starfighter 7959 ¥5,250
Republic Frigate 7964 ¥21,000
Clone Turbo tank 8098 ¥21,000
Pirate ship 4195 ¥17,850
London escape 4193 ¥8400
Cannibal island 4182 ¥5,880
Captain's cabin 4191 ¥1,890
Unimog 8110 ¥26,250
Helicopter 8068 ¥6,300
Motorcycle 8051 ¥6,300
Last and definitely not the least, the Minifigures cost ¥300 a pop in vending machines.
And some discount retailers will sell Legos at 20 to 30% off SRP; BIC camera and Yodobashi Camera. And as you can guess by the names, you can also shop for digital cameras and other electronic goods at duty free prices ( heh, off-topic I know. I'm not a tourist promoter by the way ) Amazon.co.jp also has better prices, although you'll need a Japanese account and live in Japan to purchase from the site, as they won't ship abroad.
On the other hand, I wouldn't recommend TRU or Bricks ( Lego's exclusive retailer ), since you won't get much of a discount.