I have used every supplement under the sun (both legal and "performance enhancing") and the only things that you can buy over the counter than work reasonable well are:
Creatine Monohydrate
Whey Protein (for sheer convenience - whole foods are always better as a protein source)
Ephedrine (and the legality of this varies across jurisdictions)
Back in the day, you could purchase pro-hormones from places like GNC and Bodybuilding.com, and they absolutely do work, but at an enormous risk to your health. I remember being able to buy Superdrol for $20 a bottle online, and that thing will make you shit out your liver if you use it for longer than 6 weeks. It did however pack on a ridiculous amount of muscle in a very short period of time - on a mg per mg basis, it is more powerful than Anadrol.