It really varies. I go through WorldPerks so nearly all my flights are Northwest or Delta, sometimes Continental. If it's a short one (within CA or to Vegas or something), then usually I don't bother with that and just go whoever is the lowest priced.

I buy through Travelocity a lot, or through the Delta site. I've used site59 too. Just whoever has it the cheapest, really. Never through a TA or at the airport, ever.