Wii U - Bilka (danish equivalent to Walmart just smaller)
PS3 - Coolshop.dk (biggest online games retailer in Denmark)
3DS - Coolshop.dk
Xbox360 - Coolshop.dk
Wii - Merlin (old Danish Electronics store, now it is online only)
DS - Merlin
Gamecube (bought used) - Læsehesten (a danish retailer which specializes in used/preowned books, movies, games etc.)
Edit: Everything before that was bought by my Parents for our household so i don't know where the older consoles i have were bought.