The only thing you can save is the shipping and maybe a few dollars on some games.
It's a fairytale that games are super-cheap there.
Hell, some games are even more expensive than Ebay prices (Radiant Silvergun comes to mind).
Maybe if you are in some small town, you can find some good deals, but places like Akihabara in Tokyo are a no-no (they do have almost every rare game released though, but you obviously pay a lot for those).