I have had much success with eBay and Amazon over the years, but some other sites have come to my attention.
I heard that on Black Friday a game I like was being sold for $1 plus shipping on miniaturemarket.
Then, sometimes other gamers (especially at convention "swaps" or "flea markets") will offer you a great deal. I got Carcassone: Hunters and Gatherers that way for $3 and two sticks of beef jerky.
And, of course, with local sellers you support your local gaming community!
I will have to keep everyone updated.