In terms of modern games, I have a strict policy where I only buy brand new (sealed that is, but not full price), or near mint used if I have no other option.
For me, the number one place for modern lately would be Walmart. Discounted and clearance priced copies are often found at their stores. Second to that GameStop, when they have an un-gutted copy available. If the above two fail, I turn to eBay to see if anyone is selling a new copy of a game there for a better price. Fourth option would be Best Buy, as they do on occasion actually have the "best buy" on select titles now and again. After that, I will resort to Amazon. Not fond of their service, but their prices are always competitive and stock is most reliable of any. Lastly Target, as they will occasionally have a random sale, or a better price, but I usually can't count on it.
For retro, it's about 50-50 eBay, and the one and only local retro-game shop in my town which has a massive selection.
That's pretty much where everything I get comes from.