Well, for brand new games I want to get on release day I usually use Amazon, because those guys haven't let me down once; however, where I live a lot of the more brutal games get censored or prematurely banned, at which point I order from GamesOnly, an Austrian shop for uncut games.
As for handheld games and stuff that doesn't tickle me enough to get on release day, I usually wait about half a year or so and then go the second-hand route, either via eBay or my personal favorite second-hand games shop back home... I'm practically family for those guys by now. ^^