I never buy from retail stores these days.
Online distribution for PC games that I can't get from stores (Steam and Blizzard's store).
www.ozgameshop.com and www.dvd.co.uk for console stuff and new release PC games that are steamworks titles. Delivery times for these are usually between 4-12 business days, well worth paying half price for stuff. Expect to pay ~$55 ($~45 for PC games) for brand new releases, as apposed to $110 in EB or $80-95 in JB Hi-Fi/Big W. The UK is a PAL region so games are all compatible with your Xbox's and PS3's.
The savings are ridiculous, I've basically doubled (sometimes even more) the amount of games I can buy.
You should also buy your DVD's/Blu-Rays, books, accessories etc etc online too, the savings are almost always still ridiculous for these types of things.