Best Buy is usually my preferred source for new stuff--they generally have pretty decent discounts the first week. (And then after that the prices go back up!!) I've gotten most of the "older" stuff I'm interested in owning, so now if I want something bad enough to buy it, I usually just buy it when it comes out. (The Indiana Jones and Looney Tunes boxed sets coming out later this month qualify.) Amazon.com is probably the big fish for internet buying, tho there are smaller outfits like deepdiscountdvd.com and bestprices.com that have lower prices and less-consistent customer service. (The early days of the DVD player coincided with the go-go days of the .com boom. Back in 1999 you could find plenty of retailers that were happy to knock the new release price down to $20--most retail prices were closer to $30 then--and then given you a coupon for $10 or $15 just to get you as a customer. My personal biggest score was 3 DVDs for $1 incl. shipping during 800.com's grand opening sale just before Christmas 1998.)
Check out
www.netflix.com and
www.greencine.com. Netflix is the net-rental equivalent of Blockbuster (without the evil policies). Greencine is the net-rental equivalent of the quirky little video store owned by the film school dropout--they may not happen to have Police Academy XVII in stock, but they have tons of foreign and indie releases. Netflix probably has faster service if you have more mainstream tastes, but both offer a free trial period for first-time customers.