Steam primarily, because of the ridiculous and insane deals that are available via third-party giveaways, sales, and bundles. And I'm including all the retailers that sell game keys that are redeemable on Steam. Steam is not just a site, it's an ecosystem. Seriously, it's no contest. So many Steam games these days are SteamPlay, meaning they are often available for Windows, Mac, and Linux, and even for the ones that are Windows-only, the significantly cheaper cost makes it worthwhile to have a gaming PC or to use BootCamp, rather than care about Mac specific games.
Second choice are the literally thousands of free and open source multi-platform games that most insulated Mac users don't know about. There are some freaking amazing games out there written by indie and open source developers, most of them free or donation-based, but people who don't understand that OS X = UNIX are unaware of them for the most part.
Third choice would probably be Good Old Games (GOG), which specializes in old-school games which are DRM-free.
My absolute last choice is the Mac App Store (MAS). Number one, many MAS games do not include features that are available with the Steam version of the same game. Number two, the cost of games via the MAS is overall way more expensive than they can be found elsewhere via Steam related sales, bundles, and sales and coupons at numerous retailers. Number three, a lot of games on Steam, GOG, and elsewhere are multi-platform. That means that you can play them on OS X, Windows, and Linux, whichever you decide to choose. MAS games are limited to being Mac-only. For people whose world is limited to the Mac garden, that's fine, but for those of us with broader and more adventurous tastes, Mac-only is a liability.