Well seriously I never think of going anywhere but near my neighbourhood to shop for my games and stuff. I do eventually look around the shopping mall and shops to ask for the price and observe the accessories. Anyway my reason to choose a nearby my living place is simple :
1) The shop owner is an honest guy.
2) I can book my stuff and pay later.
3) I don't need to drive all the way to town and waste my petrol and time.
4) Sometime I help him with the minor stuff.
5) I can update myself with the console pricing and market news.
Just a few point out there, in fact if your living near Ampang do check out his store.