The 2 main downloading platforms you must know are Steam and Origin. They both allow you to buy online the games you want and to download them. Steam is the leader of this dematerialization sector and Origin is EA's software to compete with Steam; for that you can only buy EA games there and not on Steam. It means that you will find Crysis, Need For Speed, The Sims, Mass Effect... only on Origin.
Both Origin and Steam require a client to be downloaded on your PC and you'll need to create an account. Also when you buy a dematerialized game on another website, often they will provide you a serial number to enter in one of these software.
To begin, there is a daily deal on Steam. Today's deal is the latest Wolfenstein(2009) for 5€/5$/2.50£. Daily deals end at 6pm GMT. (There is a countdown on the home page anyway).
On EA's store, called Origin, you will find some games for 5€ such as C&C Red Alert 3, NFS Shift Unleashed 2, Medal Of Honor (the latest one), Battlefield 2 Complete...
Look in the "Loves Carnival" section (or "Mardi Gras" or whatever it is called, I can't display the page in another language than French...)
On http://www.amazon.com, you will also find some good stuff: Call Of Duty Modern Warfare 2 for 5$, Borderlands GOTY for 7$, Battlefield Bad Company 2 and its add-on Vietnam for 5$ and 3.75$, Tom Clancy's Rainbow Six Vegas 2 for 2.5$, Tom Clancy's Ghost Recon Advanced Warfighter 2 for 2.5$, Mass Effect 2 for 5$...
----> Amazon.com only accepts "customers located in the United States and who have a U.S. billing address.". But there is an easy way to bypass this: Create an account on amazon (if you already have an account on the amazon site of your country (amazon.uk, amazon.fr...) you may be able to connect with your usual login, not sure it will work for everybody) and add a US billing address using this useful website: Fake Name Generator. Once you've bought a game, it will be added to your "Digital Library" in "Your Account", where you will find the download link and the serial number that you may have to enter in Steam or Origin.
If you have a question or if a link doesn't work, tell me
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