I usually buy games when they're on sale - but I'd say the bulk of my purchases come from Target and Best Buy, and every now and then Toys R Us. I avoid GameStop like the plague. The only time I go there is if they have a sale on a game I really want (which happens about once every two years) or it's a game I can't find anywhere else.
I used to buy the bulk of my games from Amazon since they used to have really good sales like their daily deals, but since they discontinued those they rarely ever put anything on sale unless they're price matching other retailers. Plus retail stores have started price matching Amazon, so I'd rather be able to walk out with the game right away rather than wait for it to ship.