I buy from wherever is the cheapest. For pre orders I use Zavvi, shopto.net, Amazon and have used tesco online and play.com. I sometimes buy games on impulse usually from supermarkets when I see them cheap. Asda and Sainsbury tend to be cheaper than teso or morrisons but sometimes you see games priced incorrectly at supermarkets. If I get a sudden urge to buy a game I often nip out and check the supermarket prices along with Game, Blockbuster, Hmv and grainger games. I wouldnt say that one is more expensive than the other , shopping around always gets a range of prices.
I am really suprised that no n of the big UK online sellers have set up there buisinesses to sell to games to europe. They are missing out on a huge business. Spruijt for instance will pay 60 euros (about £50) for a game in holland that we can buy in the UK for £35. For us to post games to holland costs around £3.50 , so why dont they do it? You should ask them.
Finally I forgot to mention Ebay. I have no problems using eBay to buy anything. My latest purchase game wise is the sega london 2012, eBay price £26 + £2.50 postage. Cheapest online is £32.99 and £34.99 on the high street. So basically shop around and dont always stick to one source. As for you Mr Spruijt , why not email all the online sellers and ask if they ship to holland. Some of the smaller ones that havent been mentioned actually might. If you go to amazon.co.uk there are other sellers , selling games, not just amazon themselves, check them out.