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Procurement

Obviously, the first step is to actually find your games. Getting vidya has never been easier, and here are some popular methods:

Online Retail

The most popular method to get video games these days, online retailers provide easy access and updates.

Steam
Valve's proprietary platform is probably the most popular method to get video games as of date. It supports Windows, macOS, and GNU/Linux. However, its DRM is a turnoff to some.
GoG
Galaxy of Games specializes in DRM-free video games. Due to this, it has become more popular with the more ethical folk, and conversely the pirates.
Origin
Origin by EA is yet another proprietary platform, however it is Windows only.

Online Download

Sometimes a game requires you to go to a website to download it, which is common for free games and some paid ones (e.g. Minecraft)

Physical Retail

Before the rise of online platforms, people would buy these things called "CD-ROMs" or "DVD-ROMs" or "floppy disks" and insert them into a large port on their computer. Then they would install the game into their computer.

App Store/Software Repo

Whether it be the Windows Store, Mac App Store, or your friendly neighborhood Linux repo, all of them have games that you can install directly to your computer.

Yarr Harr

Despite the rise of Online Retail, piracy continues to be a popular method of obtaining games, especially in third world countries. For the more obscure old games, this might be the only way to obtain it these days.