GameStop when I buy in retail mostly. I only buy at other places in retail if I find a good offer.
I found Burnout Paradise at 70% full price when it was released at Elgiganten (Electronicsgiant, literally), so I bought it there. Which is also where I bought my PS3 incidentally.
Aside from that, I make most of game shopping online, amazon.co.uk, game.co.uk, coolshop.dk







