I agree with the masses. Amazon and Play are just wonderfl. Id put Amazon above play for the selection and wider range.
1. play.com (Consistantly cheap when stuff isn't in a Sale, but when it is, you can pick up some absolute bargains. Sourcing / Delivery as good as any competitor you care to mention.)
2. bensonsworld.co.uk (best prices usually by a pound or so, but I find I have to preorder by a month or so to avoid having to wait 2 weeks for them to restock new titles (which is horrdenous, but the cheaper prices on non-Sale items are always tempting for me), and they hold little stock of older titles as well. Delivery is free and can be lighting fast - I had some titles arrive in a single day)
3. amazon.co.uk (Always more expensive than the rivals, but pretty much everything is in stock and you'll get it in a pretty good ammount of time. I usually wait for sales and such. A sure-fire fallback for the few times play.com fails, or Bensonsworld is cheap)
Hall of Shame:
cdwow.com (entirely useless if you're not a multi-region DVD watcher. Reasonable prices, but utterly shocking collection)
1. amazon.co.uk (A mainstay for pre-orders. PC games tend to get excellent discounts, though console games tend to be expensive. Usual Amazon perks and quirks - good delivery, £15 requirement on ordering. Marketplace deserves a mention for high-quality, like-new second hand goods for a few pounds)
2. play.com (cheap, good selection. Noticed a few stock shortages on big titles even with far in advance pre-orders, but the pre-order prices are often so good it's hard to complain)
Hall of Shame:
gameplay.co.uk (they were good about 5 years ago. Their pricing is now rarely competative and their selection and preorders are crap)
1. Amazon.co.uk, head and shoulders. Massive selection, marketplace a great source for secondhand stuff. Nice prices. Lead times on import books occasionally massive, yet you can't blame them when they're pretty much the only ones offering them.
2. Play.com, Free delivery is mighty handy, but stock isn't plentiful and the selection is pretty minimal. Prices not quite as good as Amazon most of the time.
To be honest, my experience is limited by most sites just offer a similarly good service. (amazon, play, cdwow and 101cd)
personaaly use both play.com ana amazon the most.