Humble bundle , amazon and steam for PC (also directly from publishers if its an mmorpg)
And Gamestop and Amazon for console games. Like someone else said, i tend to buy dlc on PSN store, also some indie games. I wouldnt mind buying big games on PSN if i had a bigger hard drive but i dont, so that will have to wait. But i like to have my physical discs.
All Sony needs to do to get me to buy games from the store would be to offer some kind of rewards system for buying digital games and sell 1 terabyte memory or more for ps4 at a discount and I would go digital for most games.