Mostly online these days, especially for the PC. (Amazon, Ebay, ShopTo, Steam, Gamersgate, Good Old Games, Indie devs themselves)
But I still occasionally go to places like CEX, or Game when its more convenient, (like I'm up town for the day), and try and pick up a bargain.
I think the main issue, is that Online is normally so much quicker, easier, and cheaper.
EDIT: ShopTo have been a very good online pre-orderer for me personally.
Every game I've pre-ordered from there has arrived a few days earlier.
Could be lucky I guess! XD