GOG is great for Good old Games (obviously), it was my go to because I could actually download the files on my work computer and it didn't require a client or anything. They are still the best place for older games if only because they promise to be DRM free.
Since switching to TPG unlimited, Steam has become a lot more feasible for me and I splurged at the Christmas Sale.
I just read about in a copy of PC Power Play that I picked up today but there is also an Australian site called Desura, they have a small library of games but most importantly they are sort of the Steam for mods. Their client looks at your files and determines what games you have that have mods on Desura, and Desura will apply the mod for you. Brilliant, it even works with games they don't sell as long as they have the mod and you have the game.
That isn't to say I don't buy retail, it is just so rare to get a better deal from a retail shop than you can find on GoG, Steam or Desura.