These are all updated pretty frequently, so if you are looking for cheap games, make sure to check out and bookmark these links:
Origin gives away free games every few months.
UPlay is giving away a game a month right now to celebrate 30 years of Ubisoft and sometimes gives games away as well.
Stores:
Steam often has sales.
Good Old Games has a store and often has sales. (You can also get free games for signing up). - They are also going to start their own Greenlight type project.
HumbleBundle has bundles and the store which has sales ever so often.
GreenManGaming often has games on sale, and usually cheaper than Steam (if you are Canadian, anyway).
DLGamer has keys and sales too!
Bundles:
IndieGala does several bundles a week, and discount the bundles even more usually for the first 48 hours.
Fanatical does several bundles a week too.
DailyIndieGame is pretty cool too!
IsThereAnyDeal.com is pretty good for checking up on things if you randomly want to buy a game cheaply.
GameDeals subreddit is a pretty good place to check out too.
PCGiveaways is also a good subreddit with free stuff!
IndieDB has daily giveaways. If you sign up for the newsletter it will mail you every time there is a new giveaway, and it'll also tell you if you won or not.
Alpha Beta Gamer has lots and lots of betas if, like me you are leery of pre-orders now.
Arise or something, Edited. Groupees is trash.