For paperbacks or hardbacks my first port of call is my local bookshop, which is fabulous. If I have a book in mind that they don't have (a rare event) and they can't get hold of it I look at Waterstones and Blackwells in town. If I can't get it there I'll go to Amazon.

If I'm ok with the ebook I go straight to Amazon.

I enjoy a walk around my local Oxfam bookshop, but that's more for a serendipity find than looking for something in particular.