Most of the games I've bought in the last 2 or 3 years have been through Steam, although for physical copies I usually go for...whoever has the best price and where I can find them!
I haven't bothered to buy a PS4 since there hasn't been anything to interest me released for it. As such, the only current gen stuff that I have are a 3DS and a Wii U.
Generally, either GameStop or the Nintendo eShop. I sometimes buy things from Best Buy as well. My interests lie more in older games though, so I also utilize eBay from time to time.
For 3DS/Vita games there's the eShop/PSN Store, Amazon or I just buy used copies off of sites like eBay or something. For PC games, I get them from Steam or I pirate them.
I buy all my games at walmart, I just buy the completely new cover hard copies, though the used ones can be at a lower rate as for pricing and stuff, but I think a brand new game is also a way to go too. I think walmart sells brand new copies since other game stores I've bought were super easy to open/game doesn't work/all sorts of problems and had no seal.. but yeah either one is fine as long as it's functional I guess
I prefer to get my games from Amazon, since they tend to be much cheaper than Gamestop (unless the games were just released) and I can also resell them when I'm done for a greater amount, even taking shippping costs into account. However, sometimes it's nice to get out of the house and look at games in person. Occasionally, if we have a lot of games that aren't really worth re-listing on Amazon, we'll take them to Gamestop and trade them in for credit, but I am not a big fan of Gamestop so it doesn't happen very often.