For me "where" depends on the type of game I'm picking up. If I'm not sure whether or not I'd like the game enough for keeps, I'll usually pick up a physical copy of a game at a place like Gamestop, Walmart or whichever has the best deal, because those I can physically return and perhaps refund if it turns out I don't care about it that much. If it's a game that I'm absolutely, positively sure I'd like to keep around for whatever reason, or the sale is absolutely stunning, then I'll go digital and buy from Steam/console shops/etc.