Here in Ontario, I buy almost exclusively from online sources. Mostly amazon, bestbuy and thecnl. I do price comparisons. The advantage to bestbuy is that all shipping is free, regardless of the value of the order. But with thecnl, I only get charged GST, since they're in BC, and I'm in Ontario.
I also buy from amazon in the UK, for my R2 titles - lots of Brit mysteries, etc. (Kavanagh QC, A Touch of Frost, Inspector Morse, Trial & Retribution, etc.). Even with the exhange, the UK titles are often cheaper than the North American counterparts (if they exist). For example, the complete 33-episode box set of Morse from the UK is WAY cheaper than buying the North American releases.
I've come to loath the bricks-and-mortar Future Shop, Best Buy and Walmart DVD shopping experience. They rarely have the titles I want, and their stock is so poorly organized and displayed that I end up leaving in frustration.