I am a member of numerous video game forums so I usually go though there to get the best deals as well as getting an idea of fair market value.
IF I can find a good deal, I go through ebay.
I order all my brand new import games at Play-Asia
I go with EMS shipping and though it can be a bit pricey, their service is second to none, I get my games 3 days after it releases and they also do alot of specials and offer a variety of ways to save money. Plus if you pre-order a game at its introductory price, and the price should go up at release, you are locked in the original price of your pre-order. (one example was I pre-ordered Last Hope LE for the Dreamcast, and the price went up from $60 to $80 and I only had to pay the $60)