I either buy games from Steam especially when they are on sale or I buy from Amazon since some games are really cheap through Amazon. On the odd occasion I'll buy games from Gamestop, I usually steer clear of Gamestop since their prices are more expensive. Also they've ripped me and just about everyone else off with trade ins, turn around and sell trade ins close to the full retail price for new games and hardware.
I buy from ebay and occasionally buy subscriptions for some mmorpg games. I would like to get blockland some day if there's not gonna be better alternatives..
The local Wal-mart....We don't have Wal-mart here in India...I just buy it at any shop that sells the games. Never tried steam yet though I sure am inching towards it!!