I usually pre-order mine from Gamestop, but I think I am going to start doing it from Amazon. Amazon has better customer service, and they have better pre-order bonuses usually (Same thing as Gamestop + a $10 gift card on both Skyrim and Saint's Row 3. I assume this is how it is on most games, but only looked at those two.).
Both Amazon and Gamestop have an option for Free shipping, They say it takes 5-10 days for it to arrive, but it usually only takes 2-3 days in my experiences. I believe both companies actually send the game out BEFORE the release date, to ensure a speedy delivery. The one time I used the gamestop in store pickup method (After pre-ordering online), I didn't get the pre-order bonus because that store had "run out". So, I prefer to just order online and have it shipped to my door, that way I know I will actually get everything I order.