Mostly new cd's that are not too obscure I get from play.com simply because £8.99 and free delivery you can't beat.
I use Amazon for more obscure stuff and on their Amazon marketplace you can get some real bargains.
I never buy downloads because in the UK they are too overpriced. Why pay almost as much as a CD for a 128kps rip with no artwork?
The only time I'd buy a download is if it's a b-side to a single not on an album or an exclusive track.