My town is mad generic with the stores to nothing sets it apart except a computer parts store that doesn't sell games. I usually use Amazon and best buy to buy games now.

Up front this is just personal preference and none of what I have to say is really any secret or special in anyway. So if you're looking for some back alley deal to get the hottest titles and lower than the lowest price....this won't help you.
 
Basically I have a few places in my area to shop: Best Buy, GameStop, Fred Meyer, and maybe Wal-Mart/Target but I never really shop there for games. Online I use Goozex and just found a place called SwapTree, which both have varying levels of deals and rip-offs.
 
Now the benefit of Fred Meyer is that if you wait long enough they usually take a chunk off the price of something good. For instance they had Borderlands for $40 and it wasn't that old. When old stuff hits clearance you can sometimes find stuff you missed for $15-20 too although this tends to be movie tie-in type stuff.
 
GameStop is a place I have probably dropped the most money but not lately. I know the store experience comes down to who works there so I am guessing my experience won't reflect everybody but for me this is a great place to get games. The people here are friendly and knowledgable and I find myself getting sucked into long conversations even though I'm not buying anything. When I do buy it's usually to get the pre-order bonus a few months before release day because they have the best pre-order incentives of anyone I have seen. Problem is that lately their pre-order bonus incentives seem to be a little lack (although that Dante's Inferno figure that I did NOT get was pretty awesome). I don't know if it's the game companies, the economy, or both but there isn't much extra crap to get me to buy from them ahead of time lately.
 
Which brings me to Best Buy. I never used to buy games from them but the past five months or so have been exclusively with Best Buy. Their prices are the same as everyone else, they don't really do sale prices on their games until they're much older and then it's still pretty standard pricing between $25-40. Here is the thing with Best Buy that you need to know: Gamer Club. It's part of their rewards program and they give you bonus points if you buy in the first week which get you $5 off. If you pre-order the hit game a month or two ahead I find they offer 500 bonus points which is equal to $10 off a future purchase. Depending how much extra income you toss at buying new games this could be a very useful system. I saved up until my oldest coupon was going to expire in a couple weeks and I took all my coupons in at once and picked up Alan Wake LE and Red Dead Redemption for $40 cash out of pocket. This is not necasarily a rare case either as guys I know frequently get new games free by cashing in a bunch of coupons from their reward zone.  
 
Those online places I mentioned, the newest is SwapTree. I have no idea how long they've been around but this might be an option for you if you don't mind unloading some games or movies for an uneven trade in most cases. They offer 1 to 1 trading with other people on the site. YOu tell them what you got and what you want and they match you up or you can just ask what you need to offer to get a specific item. Since it's 1 to 1 you get offers like Split/Second in exchange for Fable The Lost Chapters or a DVD Superbad. However, I bought Bad Company 2 when it came out and didn't like it so it's been on my shelf collecting dust. I really really wanted Just Cause 2 and come to find out that someone wanted to unload Just Cause 2 but wanted Bad Company 2. It was a perfect match for me! If you get something new and don't like it you can probably find someone else who will trad with you for it but other than new releases you will probably get ripped off a little.
 
Goozex is good in that you can trade stuff in various levels of condition as long as it's playable (full package, disc and instructions, or disc only). Values are based on popularity it seems so as long as something keeps trading it keeps it's value.  You buy points and trade tokens but when you sign up you get 3 free tokens to trade. You list what you want, what you have, and they let you know if you match on either one. If you don't have the points to pay you get passed over though so be sure to keep your account full enough for your wants. Good stuff here is that you will get a fair price for your old Guitar Hero 3 or Fable 2 so you can get something you want without feeling cheated but if you want something popular, like the aforementioned Just Cause 2, you might find your account full of points but your name is 100 places down the line so you won't bee getting  your game for a long, long while. Overall it's a good online trading community that doesn't feel like a rip off and you can get some great older games for a fair deal.
 
Anyway, just my opinions of where I shop but feel free to let me know if you have a better way to get games for a good price or great experience or whatever sets your "place" apart from the rest of the pack.