Steam, GoG or Origin, might start using the Ubisoft store as well as I like U-Play. So whichever of those has the best deals. For Collector's editions I absolutely have to have, I go Amazon. For console games I go pawn shops, small game stores with used games. I have used PSN for some like War of The Monsters for PS3. I rarely get console game collector's editions, but when I do I go through Amazon, the last one was The Last of Us, so not that long ago.
I don't care for physical media anymore, so if it's not a collector's edition I throw away all the packaging unless I am going to sell it back to the pawn shop if it sucks, dumped Red Dead Redemption this way, so I keep the packaging around for a week or so just to be sure.
I have started buying Steam cards at Gamestop / EB Games just to see the look of the sad, realization of impending doom on the store manager's face. My favorites are to go to the stores where they try to hide them or keep them behind the counter.