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www.shopto.net is fairly reasonable. Apart from that I don't know any online stores that sell cheap(ish).
Why?
The cheapest you're ever gonna get them is round about £40 from websites like play.com and game.co.uk
There's no two ways about it I'm afraid.
If you dislike paying so much for games, go to Game and trade in a game or two when you're getting a new game.