Anywhere I can, dudes!
Seriously, it's not terribly uncommon for me to eye around for games in a general sense most places I go. I've been out with friends in an unfamiliar area & googled 'videogames' just to see if there's a shop around- my area has a high concentration of 'nerdom', so I usually get a hit. Plus, anyplace that deals in secondhand anything is fair game- thrift stores, antique stores, yard sales, estate sales, pawn shops, consignment- I've found games in damn near all of them!
I do tend to focus on a few places, though- there's a shop called Game Lobster within walking distance of work. It's dirty, it's disorganized, they don't screen for bootlegs & prices are typically on the low-end of eBay's Buy it Now listings... but, they'll let you inspect anything & test whatever they can before you pay, so there's actually a fair amount of confidence in getting working gear from them. Plus, they sell EVERYTHING, so it's great for obscure systems. I got my Channel F from them. I also stop into a Human Society Thrift store just down the street all the time- I don't often find gaming stuff I want there, but when it does turn up the deals are good- $5 for a PS2 slim? I can do that!
Honestly, though? I mostly use Ebay & Amazon these days. It's not that my local places are bad- I've simply reached a point where most of what I'm after is pretty uncommon, so I'm just not likely to find it in the wild at all. It may cost more than a lucky hit in a local shop, but it helps keep me focused on the titles I really want, as opposed to 'well this is here, it looks interesting, so I guess I'll get it."
As for modern games- usually Amazon or Gamestop. For the rare times I buy something brand new, they tend to offer some sort of perk for doing so (be it a pre-order bonus or discount). For modern games bought secondhand, Gamestop is actually very useful for me. There's a lot of titles for last-gen that are half the price of Ebay… assuming you can find one in store. Well, given the geeky density of my area, there's a lot of Gamestops. A LOT. A quick search on their locator has 19 stores within 15 miles of my home. Not surprisingly, I can usually pop onto the website, search local inventories, find a game, and either run down or call to see if it's in a condition I want to buy it in. Pretty handy, really.