It depends on what I am buying.
New guns- Stovall Precision Arms
Used guns- Where ever I can find the best price on whatever I am looking for. Word of mouth, the classifieds or where ever I can find them.
Old or Specialty guns- I hit Gunbroker.com And by specialty guns I mean things that aren't always available on the shelf... say a Model 11 Remington, or a S&W 610, or Springfield Micro. Stuff that ain't always the biggest sellers and movers in the retail biz! I've gotten some really great deals on gunbroker!
I hate to admit it, but I'm tight with my gun/hunting budget. It's pretty meager by some folks standards so I try to get the best value I can possibly get. Sometimes I miss out and sometimes I score!!!