50% Amazon, 35% cheapassgamer.com trade forums, 10% Gamestop, 5% ebay. Amazon has a lock on new releases for me because of free shipping + no tax. They're just second to none, full stop. The CAG trade forum is one of the gaming world's best-kept secrets and you can really clean up there, both buying and selling. It's my #1 stop for used games. The other smaller percentage goes to GS and ebay because they sometimes have rarities that I can't find elsewhere. Other good sites that I've used for game shopping in the past: Gamefly - a few times a year they'll have amazing sales on used games that are just crazy in how low they undercut everyone else. You just have to watch out for these sales. Zavvi - where I go to buy games that Reggie doesn't good patriotic RPG-hating Amurricans to play. Newegg - has decent clearances and sales sometimes.
Mine is mostly gamestation mainly because I live only 10 minutes away from there which makes for easy and convienient however if I can get a game I want for cheaper elsewhere I will travel further, that is usually ASDA, Tesco or Grainger Games.
When I was younger and lived with my parent's I'd buy most of my games personally at the local Best buy since it was a couple of block away from home. But now, since there isn't even a best buy or game stop in my city, I shop for them online. I use several sites but my most used one is amazon.
Bringing this thread back! Since the advent of Gamers Club Unlocked and because Amazon doesn't do the kickass sales that they used to do, I try to buy most of my games from Best Buy now. Getting 20% off any and all games is an amazing incentive, and if you can hold off until a sale it means you get even more off the sale price.
...I swear I replied here on Saturday. Where'd my post go? Anyway, I still mainly purchase from Best Buy because they are nearby and price-match almost anything I throw at them. Still been ages since I've benefitted from their rewards program though :( Runner up would be Amazon; cheap, convenient, fast. My obligatory boooo to overpriced and understocked EB Games and GameStop ;P