Because game OSTs are really only for a niche market, theres very few places that sell them cheap. You could always try ebay or other second-hand market places, but I've been burned many a time with cheap bootlegs from dodgy sites. I find that if you want quality goods, you have to pay for them.
For my money, the best place to buy game OSTs is CDJapan:
http://www.cdjapan.co.jp/
The prices are always reasonable, but the shipping can be a bit steep.
If the game OST is mainstream enough, you might find it for a good price on either Amazon.com or Amazon.co.uk though. I'll always have a bit of a shop around first! I think iTunes has started carrying game OSTs too, but I've yet to dip my feet in Apples murky waters yet ;)
Hope that helps!