Although some times I like to preoder my games on the intranets like amazon or gamestop.com, most of the time my orders are slightly late when I'm waiting for a game to ship although it always comes.
I try to get most of mine second hand from friends but if that does not look it is going to work I go to gamestop if they do not have it I go to ebay and then the last place I go is bestbuy.
I use Amazon also but for those really good games like GTA4 that you can't wait to get, I go to my local game store that has the games 1 day in advance before the B&M stores.
amazon and ebay are the way to go for accessories, as for games, if you don't mind used, go to a local store or if you can wait, use amazon/ebay for those as well