50% GAME: I buy the majority of my games here because A. buying a game from a local store is more convenient, and B. because I have a loyalty card from the store. It only gives me about 2.5% of my spendings back, ultimately, but it's certainly better than nothing.
30% GameStop: Sometimes, I find that GameStop stocks games that my local GAME stores (both very small) can't fit. Or GameStop is undercutting prices, which my wallet appreciates. So I buy a bit there, as well.
20% imports, usually from Play.com or Amazon.com: Because quite a few games (either older or more obscure titles) simply aren't available in local stores. The last game I picked up online was Psychonauts, which I bought used off Amazon. Game is simply too old and semi-obscure to be stocked in any local store.