EBay? Half.com? Amazon? GameFly? EBGames?
All good places to start.
I don’t know about online, but I’ll frequent EBGames and scrounge through their bargin bins. Every so often I find some good deals, like $2 for Joint Ops and $4 for Tron 2.0 (both were used, but with working CD keys).
I normally make my game purchases through ebay (all new). However, last week I got Halo 2 for $29.99 plus Voodoo Vince and Shenmue 2 together for $20 at walmart.com. Pretty good deal I think. Plus shipping was less than $5.