As for me... There's no thrift stores/pawn shops around here that ever have games, only one retail store that has retro games (that overprices most games) and the flea market is terrible (lol @ Mega Man 2, cart only, for 35$).
There is one tiny store in a tiny flea market (about 40 minutes away from me) only open on Sundays that has really good selection, but the prices are hit or miss. Sometimes they have great deals, but sadly the owner knows about the Ebay prices of games so any rarity you might find there is priced accordingly (I did see Little Samson, Bubble Bobble Part 2, Snow Bros and Surprise at Dinosaur Peak there... all over 100$), and some common games are priced higher than they should (no game is priced less than 5$, other than Atari 2600 games which are 2$ each). Still not bad, they sometimes have some surprising things (I saw a Vectrex in the advertising they put on Kijiji once).
I sometimes use Kijiji (since craigslist sucks here), but people around here are idiots who WAY overprice their stuff. The worst I've seen is Final Fantasy cart only for 100$, but it's almost always stupid like that. I got a few good deals on system bundles there, but generally kijiji isn't too great here.
My best bet for collecting classic games seems to be online stores. Not all of them are great, since shipping to Canada always costs a lot (that includes Ebay, I never use that). I generally use jjgames.com for NES/SNES/Genesis, or atari2600.com for atari games. I'm always looking for other sites, so if you know any good sites to order from, post them!