Usually either the Discovery Channel gameshop (they often have CE's you can't get anywhere else over here, at least not that easy) or a little, independant Dutch online gameshop called GCshop.
Both are usually a lot cheaper than most retailers over here. For example, if I'm going to buy Bad Company 2, I'll do it at GCshop. It's just 49.50 there, instead of the usual 60 euro's. Why even bother with brick-and-mortar or big chain shops then?
On rare occasions I buy something off Steam. Usually insanely good deals like last Christmas, or old games you can hardly buy in stores nowadays (KotOR, Psychonauts). I still prefer a nifty case and a manual and all that.