Steam is the best, in my opinion. I've seen games discounted up to 75% (as well as bundle savings of up to 90%.
Plus, you get to keep the games you buy. If you bought it ONCE on Steam, you own it forever on Steam. Some games have digital rights management, but the vast majority have DRM through Steam, meaning you can install them on all your computers whenever you want and you won't lose your games as you change computers over the years.
Aside from that, there's Direct2Drive. I've never used it, but I hear it's a lot like Steam. There's also Good Old Games. Lastly, there are certain publishers that sell their games for discounted prices through their own in-house download services, such as Microsoft and Electronic Arts.
Just check out Steam, Direct2Drive, Good Old Games, MIcrosoft (their online store), and Electronic Arts (their online store).
I'm sure there are more, but these are the ones I've seen. Remember, Steam offers HUGE discounts very often and when you buy a game on Steam it's YOUR game FOREVER*.
*excludes game with digital rights management that is separate from Steam's digital rights management.