Besides CAG there is Half.com and GameFly where you can get used games cheap.
As for games, I was kicking myself for not picking up Tekken 6 last night when I got the 360....need a good fighting game, I miss those most in PC gaming. There are NO good ones.
You can get the impressive VF5 very cheap. Likewise the new Street Fighters are pretty good. 360 Dpad sucks though.
Saints Row is one I need get, my kids each bought a copy for their Steam account of SR2 so they could play online together.
(My daughter is 10, yeah I don't have a lot of problem with them playing "mature" games so long as I play them first to make sure what kind of "mature" it is. Comic-over-the-top violence doesn't count as "mature" in my book. ) I love that game to death, must play the original!
RDR seems to be one of this generations best games and is a Sandbox game.
There are a lot of great 360 games in the back catalog.
Racers: Forza 3 and 2, PGR4, Shift, GRiD, DiRT2, Burnout Paradise. Ever Race Pro is solid. Forza 3 has split screen and scales to all skill levels. It plays great, I highly recommend it if you want 1 good racing game that 2 people can play.
Shooters: The nice thing about Halo 3 and ODST is they are 4 player MP and split screen coop through the entire campaign. I am sure you are up on your shooters so you know there are a lot of oldies but goodies. If you don't have it for the PC, Gears 2 has split screen coop for Horde and Online as well as for the Campaign.
Where I think the best bargains can be found are on the Arcade.
1. Age of Booty. 4 player split screen action-strategy game. Simple game and a lot of family fun.
2. Trials HD. Single player but very addictive. One of the most polished game ever.
3. Geometry Wars 2. 4 player and absolutely intense. Just get it. Thank me later.
4. Toy Soldiers. One of the most polished Arcade games it has 2 player splitscreen. It is Tower Defense + Battlefield. We absolutely love this game!
5. Worms Armageddon. 4 player, tons of fun. Great couch game.
6. Castle Crashers. 4 player, well designed, long campaign, leveling.
7. Peggle. Don't laugh! Very approachable game but it requires some skill and tinkering. 2 player mode is fun.
These 7 arcade games are equal in value to any single $60 game. The best thing is they are mostly multiplayer and great couch games. Most are accessible and offer a ton of replay value.