Lately, my go-to source is grabagun.com -- the prices are low enough that I can save $100 over LGS and chain-store brick-and-mortar retailers even after I pay the LGS's $45 FFL transfer fee.
If the price difference was less, I might be less decisive. But $100+ is convincing. This is about 10%. For cheap guns, the difference is less.
The main reason I've bought from a big chain store is they buy guns, so I can effectively trade. Private sales are getting to be a hassle. I've done armslist, but besides the increasing pressure to legally complicate private sales, armslist buyers are rarely worth dealing with. I've had good buyers, but too many time-wasters.
The chain store can be less expensive than online stores plus the FFL transfer fee when the gun has a low price. For a $500 polymer pistol like a Glock for example, the FFL transfer fee will easily erase any savings I might get from an online store. But I usually buy guns closer to $1000 and up where the price difference can be substantial.
I have bid on gunbroker but have been consistently outbid. I guess the guns I like are the same ones other people love even more. I have not tried to sell on gunbroker because the stuff I've sold is frankly not very attractive.
I've bought at LGS when they happened to have something new I was looking for that was out of stock at lower-priced chain stores and online. I've also bought used guns at the LGS when they had something interesting.
Mostly the used guns at the LGS's are similar to what I see at local gun shows - junk. I can imagine some shows are better, but locally there is rarely a needle in the haystack.
The only future purchases I'm anticipating at the moment will be "builds." If anything else comes up, I will check all the sources - online retailers, classifieds, auction sites, local chain stores, LGS, and shows. I wouldn't want any of these options to go away because I'm convinced they all work together to provide the best opportunities.