I'd agree that buying online in the US is probably your best bet for the "smaller" electronics (SD cards, etc).

If you really must buy it here, then i'd say your safest bet is Fortress or Broadway in Hong Kong. Global warranties on purchases there.

Best Buy's prices in China are indeed seriously inflated, so stay away from them. If you want to take the risk buying in Shanghai, head to one of the many electronics malls, both in Pudong (Zhangyang Lu) or Puxi (Xujiahui). But without experience and a reliable contact, i wouldn't recommend it for a non-resident.

Forget finding anything in Macau. No electronics whatsoever.