My favorite and most affordable places to buy these things would have to be Walmart as well as Amazon. I love these stores because one is an online one where you can find amazing deals and Walmart is a store that is known for it's great and affordable prices. It is highly recommended!
I buy online sometimes from amazon.com or walmat.com or sometimes I go to the walmart to buy them or kmart.
I buy mostly online, at Amazon or Play.com. I usually try to buy through a cashback portal, so I get something back on the deal. I also look around car boot sales and second hand shops for deals on movies. I don't buy games or music these days - I prefer 60s music, and I've got tons of that on CDs, so I don't need to add to it.
Everything I buy, I buy digitally. No reason to pay shipping costs for something I'll only use digitally anyway.. as for games, that means PSN or Steam, and for music, usually bandcamp, because great deal of bands I like have a bandcamp page.