I buy from Amazon.com for games I can wait for since it lets me dodge taxes, I deal with gamestop for games I really must have on release day (like MGS4, Little Big Planet, Madden, ect). I have a friend who works there so even if I don't preorder I can get a copy, which is nice (people at Best buy don't have that kind of power).
For PC games I LOVE direct2drive. I have bought so many more PC games lately because I can download and play right away. PSN and direct2drive are by far my preferred destinations for game buying.
PSN ID: ChosenOne feel free to add me