Last New Console I bought was the N64 back in 1997 from a Supermarket in Luxembourg.
Since then, old Games/Consoles from Ebay, NEW Games wherever I find a good deal.
Like last month I found Metroid Prime 3 for the Wii in a Super Market bin (in Greece) for 12 euro and got it for my nephew.
Play.com has good prices especially for us who don't reside in the UK (lower shipping costs than amazon)

Dreamland. It's very cheap there compared to other stores.

Wii is €15 cheaper then everywhere else I've seen(except maybe online stores, but I don't look at that) and I bought games like metroid prime 3 there for €10

100% of my purchases take place at Best Buy.
Between my mastercard reward zone, my silver membership and my gamer club membership I get like a 12% discount on games... ( that and I always have a 10$ or 20$ reward zone thingy to use so I never pay full price).

Majority at Wal-mart, EB, Bestbuy.

But on rare occasions at those big name grocery stores where they also sell electronics. They try to compete time to time and has awesome sales. I bought my RE5 $10 off the actual price on the first-day release of that game. Once awhile they would have the NDS Lite going for $99 for no random reason.

Just goes to show that you never need to go to those full electronic retailers for good deals. Just gotta shop around smart.

I don't I steal em.

Best Buy for sure! That or eBay, if the game is old and is still $60 then I can usually get it for less that $30 online.

 Yes you do! I saw you with a game ithout a receipt

Bought my wii at a target

Bought my GameCube at a gamestop

I usualy buy my games from a variety of stores but here are the store in order by the most games i bought them from
GameStop
Best Buy
Circuit City (before it went out of business)
Walmart
Target
and Meijer (believe it or not my latest purchase was HOTD Overkill over there)

Sometimes i go to babages or FYE

the wii is a toy - confirmed

Play-N-Trade & Wal-Mart :)