Play.com, Amazon.co.uk, Steam and occasionally my local Gamestation; I live in a relatively rural area and as a result don't have too good a selection; small independent shops are non-existent and the Gamestation, I reckon, must make a pretty meagre profit.
Gamestation often has pretty decent pre-owned games, but occasionally a new copy of a (fairly) old, good game comes through and I have to snap it up; prices aren't great, but travelling North to the nearest city is ludicrously expensive (one bus company has an unofficial monopoly on the entire region, so prices are bad; added to this that in Scotland, OAPs can travel free if they have an entitlement card, which the companies use as an excuse to push the prices further). Oh and I have a loyalty card so that adds to the value of going there.
Amazon and Play always have a good selection and the prices are pretty good. They often have nice promotional offers and delivery pretty fast.
Only started using Steam, but the whole digital copy thing hasn't entirely sold me yet; downloaded a few games from it, but the time involved and the fact it sucks up like 90% of my dowload limit means its not that viable. Until better download limits and broadband speeds are available here, Gamestation, Amazon and Play will continue to be my main three.