For PC that's Steam, almost always. When it comes to consoles I go with various web stores, and I must admit that Game often ranks high on that list because they offer free shipping, fast shipping and they ship it so you'll receive it on release day. I always check around for the best price and Game doesn't always win.
I also buy some from retailers, but rarely from Gamestop. Ever since my friend got a copy of Resident Evil 5 (new with the resident evil 5 Xbox 360 bundle) and it didn't work and he never got it replaced I've avoided them. If they have a great preorder bonus I will use them though. I actuyally buy most of my games form a Norwegian electronic store because they got good prices.