Columbia House is awesome if you read the very informative DVDTalk threads, work your cards right and you can do it over and over and over and over again.
DeepDiscountDVD overall has the best DVD prices since their shipping is free, they usually beat their competitors by anywhere from $1-$3.
If you check the AnandTech Hot Deals forum on a regular basis there are several companies who give away FREE Amazon.com GC's for taking a survey or signing up for a newsletter. These work perfectly with Amazon's pre-orders (some of which have free shipping).
It does take a lot of work to "save" money on DVDs but when you realize your average cost is near $10-12 and everyone else is paying RETAIL prices of $24 you'll know your hard work wasn't done in vain.
Of course my average per DVD cost is slowly creeping up I think at last check it was a little over $7 each including shipping.