Despite the awful exchange rate, there are decent prices if you know where to look, especially since many Japanese games drop in price pretty quickly after release.
Amazon.co.jp is worth checking out, but you'll need a proxy to buy games from there (
dv8CAG is a forum favorite).
A couple alternatives, both of which you can order games from directly:
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Play-Asia: a great and
very popular import store which also carries some hard-to-find items. The thing I don't like the least about them is the high shipping rates (a consequence of them being in Hong Kong), but it's not as bad for games as it is for books and figures.
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AmiAmi: mainly a figure store, but also carries a lot of games. Their sale sections have some deeply discounted stuff, and are updated on a regular basis. Located in Japan.
For European games, there's, again, Amazon (.fr, .co.uk, etc.), but their policies on mailing games overseas might be the same as with .co.jp's; in fact, I'm fairly sure this is the case with .co.uk. Third-party sellers on the Japanese and European Amazon sites can be a different story, though, as some of them will ship worldwide.
Play-Asia also carries some European games, but not many.