In my experience.
Knoxville has a number of places that I visit when I'm in town: There are countless EBs and Gamestops (Turkey Creek has both, West Town and Knoxville Center have both, and there are standalone stores scattered everywhere). Charlie's Pawn on Kingston Pike has some decent stuff every once in a while - I've grabbed KOTOR2 for $10 there, and Intelligent Qube for $3 (believe me, I was happy). Game Haven is generally way too overpriced for my tastes. McKay's is the big one, though. They're on Papermill Drive, near the exit, and have a huge selection of used games, books, and movies. I've spent a lot of cash and trade-in there, you have no idea. Hours can be spent here. Awesome place.
Nashville is also good. Again, there are plenty of EBs and Gamestops, four or five Targets for a good selection of clearance stuff, etc. The Great Escape is the big used-media store here, and they've got two - one downtown, one up north in Madison. Their prices are a little wacky, but chances are you'll go home with something. I'm still looking for a decent pawnshop in the area.
Memphis... Really, all it has is the EBs and Gamestops. The few specialist stores in the area have mostly closed down - there was this place called Boomerang's over on Mount Moriah, and another store in an old house on Summer Avenue, but I don't think they're still around. Memphis is pretty depressing on the whole.
Jackson, between Memphis and Nashville, is even more depressing. I typically cleaned up whenever they had sales or clearances at any stores in the area, because I was the only CAG there. The GameCrazy 3-for-$15 sale? Oh, god. Even so, the one specialist store they had closed down, partly due to the owner having no clue what he was doing. I'm glad I live in Nashville now.
When in Murfreesboro, I also like to check out the Digital Planets, but no one's ever mentioned them here. Hmm.