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I'd have to say Steam. If I buy a game, I can download it again and again with out having to pay for it again. That and the choices are quite plentiful.
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I dislike play.com 3 times i have pre-ordered games and ended up dl'ing them and completing them before they arrive disgraceful!
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In Canada i used http://www.Kickgaming.com. I also used a overseas shop from the UK back in January now i cant remember the name at this very moment sorry. But they were horrible i went to buy a Sega Dreamcast Coders cable in which we all know by now is not available but i thought i'd give these guys a try and see. Well up till about May i said screw it cause i know they'll never been and got my money back.