I mostly do Amazon since I have a Prime membership and the sales there tend to be pretty significant and consistent. Followed by [email protected]
(VIP points, baby) and Bricklink. Then the occasional impulse buy at Target, Wal-Mart and places like that. TRU generally has the best selection of LEGO in my area as far as brick-and-mortar stores, but their mark-ups usually counter that making it an unattractive option...but when they have decent/genuine sales, maybe. The nearest LEGO stores to me are about an hour away, so that's only a periodic indulgence.