Amazon.. like so many others.
I love Amazon. Out of all the places I've ever dealt with, including all sorts of things other than video games.. they have always treated me with respect, and honored my issues with haste. Returns are a no-brainer, replacements are easy, etc. Have been doing business for years.
Games with them, couldn't be better. I have Amazon Prime, so I get free 2-day shipping on everything.. It's so easy just to drop a game in the cart and place the order.. have it in 2 days guaranteed, even on Saturday. One-day shipping is only $4 USD, with Amazon Prime, so if I'm feeling anxious for a game, I can do that too.
Release Date delivery on blockbuster games is always a plus too.
Oh, and Ebay on occasion, for certain older games. I don't usually like using the Amazon marketplace, because people are overpriced most of the time, and they rip you off with shipping pretty bad.