Depends on what I'm getting and what the best price is.
Usually Amazon or Napa for family/friends' vehicles I maintain because it is convenient, and FCP Euro for my BMW because of the lifetime warranty.
I used to get most of my oil at Walmart, but I don't do that anymore for two reasons. 1. Walmart is now out of my way since I don't commute past it anymore 2. The local Walmart is terrible about stocking shelves and never has the right quantity of the brand or weight I'm looking for.