I buy all my games from Steam. I can't remember the last time I went to the store and actually bought a physical game. If I can't download it, it's not worth my time.
I play alot of PS3 games and many of them I just buy online through the playstation store. I like it because they just come right to my harddrive and i don't have to deal with putting the cd in and out. Same with my Wii.
Here you can play online games for free of cost. This is the popular website to provide the free online playing website. you can see here. Play Free Games url: http://www.farplay.com
already forget when is the last time I bought a game.. and I never bought online.. now I prefer to download it or borrow from my friend..
Internet is a huge source for new and used games at unbeliavable prices. You can even save money by trading your old pc games with a few online game sites. So I buy games online, but prefer to play demos or read game reviews before buying them. I always check amazon's prices before buying from somewhere else.