I usually buy on Amazon nowadays .. I especially like the "Marketplace" stuff. You can get some very deals on it.
Basically, the best advice, IMO, is buy what you absolutely must have on release day. For the rest, wait 6-9 months, and you can usually find them dirt cheap just about anywhere. Also, don't be afraid to raid bargain bins at your local store.
Used DVD is also interesting if you don't mind it.