gog.com
Despite me feeling butthurt about Galaxy, this one has a pretty neat selection and is largely DRM free.

steam.com
After I got into VR, I returned to Steam. While GoG do have some VR content, it is simply just not enough.

https://itch.io/
Loads of indie games, a lot of them experimental game jam entries. I hate the beggingware concept, but it's possible to find some pretty neat stuff here. Some VR too!

http://fireflowergames.com/
Never bought anything, but skimmed the catalog.

Second-hand stores
There's sometimes some good CD-rom games for sale. Not always but it happens.

Steam...

Mainly GOG

Once in a long while I'll get something on Humble or Bundlestars

Rarely something on Steam.

Basically, my back catalog is so big that I really don't need to buy anything elsewhere and can just wait until something I may be interested in shows up here on GOG anyway.

GOG / Steam / GamersGate / Humble Bundle/Store / Directly from developers / Origin / Battle.net / uPlay / CD key sites

Where ever has what I want at a price I'm willing to pay - and screw being loyal to one system.

G2A!

I love the thrill of never knowing what is still going to be in my Library every morning.

GOG.com mostly, but this has slowed down simply because I own such a great deal of GOG catalog already, and I am not into buying in-dev games, or brand-new games that are likely to receive lots of DLC afterwards (I rather wait until they are "complete" and buy then, learned this the hard way with "Omerta: City of Gangsters", I should have waited for the Gold Edition).

Occasionally I may buy a Humble Bundle too, 99% of the time it is their mobile Android bundles.

That's it for now. I haven't bought directly from e.g. Steam for ages now, and HB is the only 3rd party Steam key seller I have bought for a long time. A couple of years ago I bought something from GreenManGaming. I could buy something from Steam if there was some must-have game, but since I have thousands of unplayed games in my backlog, such "must-have" games should be something really special indeed.

Places where I used to buy, but don't buy anymore:

DotEmu (RIP, it was nice knowing you, I kinda liked you, you were like GOG.com's little brother or something).

GamersGate (bought a few DRM-free games from them earlier, but stopped that when they were moving more and more becoming only a Steam key seller, and apparently they even changed some of their DRM-free downloads to Steam keys in people's accounts. If I wanted to have a Steam version, i would have bought a Steam version).

I bought also a couple directly from developer web sites, e.g. the Penumbra/Amnesia games, and I've bought two copies of Minecraft as gifts.

Oh yeah I have quite a few games also on EA Origin, but they are either freebies "on the house", and then there was that one or two Humble Bundles years ago that came also with Origin keys.

I've bought from several stores.
GOG is my first choice.
Steam is great for variety and several good games that just aren't on GOG
Humble is next, though often I just get Steam keys there.
Gamersgate is a good store I've gone to several times.
I bought 4 games or so from G2A, never had a problem. Probably because I didn't go for the super deep obviously too good to be true discounts. Still have all those games (including GTA V and Shadow of Mordor). That was before I was really aware of how shady they are.
I also own a few titles on Greenm Man Gaming
And then there's a few on both Origin and Uplay.
Edit: That doesn't even count the physical copies of games I have like my original Daggerfall print, original Gothic Universe, my original Forgotten Realms Silver Anniversary, and my Diablo II battle chest… plus several others.

gog.com and psn

Accessibility is an issue for me so I'll admit I download first from one of them sites we're not supposed to mention, try the game first and then usually buy it if I can play it. And if I have the money available.

It's so a gray area for me as most of the older games I'm um finding, I did buy back in the 80s and 90s and are the ones that wound up in the dumpster probably when ex #3 went off with everything.

I have to admit that I would rather have the box though instead of a digital purchase.

edit: I can't access Steam from the library as they have the DRM server blocked and the library doesn't see it as an issue.

At the moment i'm buying my games at:

Steam
Humble Bundle / Store
Bundle Stars
Groupees
Indie Gala
itch.io
FireFlower Games
Zoom Platform
Playism Store
Directly from developers
Green Man Gaming
Origin

And sometimes a bundle from smaller sites like OtakuMaker etc.

I get the bulk of my games on disc for PS4 through Amazon. For US/Asia-only releases, I get my games from Play Asia. Or I take a stroll up to our local Media Markt or Saturn. I work from home so it makes a refreshing change to go out to get my games and go for a coffee. I don't usually do PS4/PC double dips, but if there's a noteworthy difference between the PS4 and PC versions, I'll occasionally double dip for under €5 on the PC version, although by the time that kind of pricing develops, the game's usually popped up in a PWYW bundle anyway.

I don't usually need to resort to Steam to get specific games that I want. I'll usually risk a look at PWYW shovelware bundles as there's usually a game or two that I can have some fun with, but it's rare that stuff I specifically want isn't available on disc on PS4 or on GOG, especially as AAAs are usually multiplat, most high-profile indies tend to make it to GOG these days. Steam-only PC games tend to be AAA multiplats, crap survival game #868345628, crap multiplayer shooter #2492492724 and assorted other shovelware made in Unity Personal Edition/RPG Maker/GameMaker Studio.

It's very rare that I buy anything from the Steam Store directly. Occasionally the odd €10-15 spend during the summer or Christmas sales.

Gog by default...Humble Bundle/steam depending on sales as well as Bundle stars and now thanks to the OP; I'll be using itch io as a secondary vendor as I have now defaulted to indies well before AAA, I'll use humble/steam for the bulk of my heavilly discounted AAA titles from here on out!

I did go the Origin route for EA exclusives such as Crysis 3, Mirror's edge 2, ME3 and DAI, but don't count them as much due to their library is very finite for my needs as the only other game I'll be getting is MEA when it goes on sale for 80-90% off.

GOG, naturally. I dropped steam like a bad habit back in 2015 and ive been ever so happy since.
Occasionally i get stuff from Itch.io as well.
Second hand shops for the occasional pre-DRM pc game are a go, too.

Currently mostly GOG and Humble. The latter has a smaller DRM-free selection, but they have some pretty cool games not available here. Also bought some games on Fireflower Games, but their selection is limited and they rarely seem to add more games to the store. Still worth a look, as they have some games not available here, as well as some freebies. And I bought some games on Shiny Loot, when that was still a thing... There's probably a lesson here, about supporting smaller stores, lest they all just disappear. ( Hey, that kinda rhymes. )

So far I only bought a handful of Steam games ( most of them retail games, tied to Steam ), but I'll probably end up buying more in the future, since GOG is gradually turning into some sort of Frankenstein Steam-Clone anyway.
How is Mirror's Edge 2? Better or worse than the first one? Any major changes?

I tend to buy from the Humble Store. Some percentage of the price goes to charity, so that's nice. Also I heard (not sure if true or not) that they charge developers less that Steam does, so the developers get more money. There are also sales and occasional giveaways. And, of course, there is the whole Humble Bundle business, though I rarely participate in that.

They sell both DRM-free downloads and Steam keys, so if you want a particular game that is a Steam-exclusive, but don't want to buy from Steam itself for some reason, the Humble Store might make you feel less bad about buying a DRM-infested game. I bought Doom and Dishonored 2 that way.