Aliasalpha: Well being australian I get the "bonus" of asking myself that question pretty well constantly.
For me it comes down to a price to longevity ratio coupled with the 'got to have it on release' or 'fuck me I'm so dangerously bored that the only option is buy a game NOW or start torturing random passers by'.
Arkham City I bought locally because I found it for $68 which is a fairly good price given that the RRP was $110. I could have got it for $58 from ozgameshop but the saving was small and the 2-3 week wait was too long.
Much the same applied to Gears Of War 3, it was $75 locally and I could have saved $15 by ordering from ozgameshop but then I'd have had the delay and missed 2 weeks of coop shooting & chainsawing.
Dead Island I bought from Greenmangaming for $30, that was purely a price based decision, it was something on my maybe-list for a month or so before release but then found the discount for GMG and bought it immediately
Warhammer 40000 Space Marine was always going to be an ozgameshop game. It didn't look like the best game ever made & was likely to be rough around the edges. That and the fact that it was selling for $90 locally made the $58 and 2 weeks wait the more attractive option
Star Wars The Old Republic I preordered from amazon, largely thanks to the lack of alternatives. I ended up picking the priority courier shipping (in the probably vain hope of it arriving before christmas) that pushed the price up from $60 to $90 but I rationalised this by telling myself it's what I'd have been likely to pay for it locally anyway
All of these are examples of games that I was going to play as soon as I could. For stuff on GOG or steam sales, I do have a tendency to buy & download games but not get around to installing them for ages because the drive for playing something isn't as strong when its not a new game (as in one I've never played rather than chronologically new). It's also lead to me being more ruthless with my time, when I do install something I bought rather cheap, I tend to give it 2-3 hours to impress me and if it doesn't, the chances are good it'll never get another go.