First, I agree that you are right to take your money where you want it. Your stance on principles is a credit to you.

For the sake of argument, the following.
In "play"-speak, delivery is free, as in "included in the price". Now many UK shops (I mean real shops in the high street in the UK) will officially present prices in pounds (of course) but tourists can pay with euros. However, the exchange rate used is usually a rip-off. There is no law forcing them to abide by any exchange rate set by a bank. Play does exactly the same.
So, using "play"-speak, even when charged in euro, delivery is still "free". You can't do much about the euro price.

The annoying part of Play is that they do not allow non-UK shoppers to use the pound; they won't ship items paid in pounds. That's where their policies stink. In all, wording is everything, like politics.

I am a little less man of principle than you. Play has always been a reliable supplier, and until recently one of the cheapest sites. So if they have a good deal, fine.
But I used to ignore Amazon.co.uk because of the total price with shipping. Since a few months this amazon site now provides (usually) the better deal and I am rapidly taking my money there, more and more...

I also shop a lot in the UK. Especially for Blu-Ray, where prices are usually 30% lower than in the Benelux, and a lot of the UK Blu-Ray discs even have dutch subtitles.

I always compare prices between Amazon UK and Play.com. Maybe I should check out TheHut.com also 

Something nobody mentioned, is the traders available on Play and Amazon. For R1 releases, and also audio CD's, I usually check the traders. On Amazon, they have a fixed shipping cost of £1.79, and they have very competitive pricing. You often have the choice between used and new, I always select new.
I only occasionally use traders on play, since the selection is smaller, and usually more expensive.

I mostly use Caiman and Moviemars. Both ship out of the US, so order items cheaper than 22€ to avoid taxes. You can order multiple items at the same time, they ship everything separately. With a few exceptions, delivery is withing 2 weeks.

Here are a few items I purchased via traders, price includes shipping cost.
Halloween: 3-Disc Unrated Collector's Edition: 16.84€
Hundra: Limited Special Widescreen Edition: 8.26€
Masters of the Universe: 7.09€
Spacehunter: 8.37€
Night of the Comet: 7.61€

Quoting oleops:

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Quoting whispering:

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If i go to Play.com it displayes pounds, i then manually change the currency to Euro. At this point play.com should say to me that they have added an additional fee because it ships outside of UK. However they display it as its the same price, and that is illegal here, charging extra is not.

Why do you change into euros at the checkoutpoint?
I see nothing ceeping you from beeing charged in Pound, As mention by another NO user this is how it function in Norway and yes it is mutch cheeper.

When I try to order in pounds, this is what I get:

Why do I need to review the delivery address?
Items priced in pounds can only be delivered to UK addresses.
Items priced in euros can only be delivered to European addresses outside the UK.
Electronic or gadget items can only be delivered to UK addresses.
Electronic or gadget items valued at £50 or over must be delivered to your credit/debit card billing address, which must be in the UK.
Games items valued at £80 or over must be delivered to your credit/debit card billing address, which must be in the UK.
Mobile content can only be purchased if you have a UK credit/debit card billing address.
Choose a different delivery address.

Perhaps Norway is an exception, but I can only order in pounds. But I don't really care, I just verify the cheapest price available to me is. If that's play.com, I'll order from them without feeling ripped off, even if I have to pay more than UK customers for the same item. The amount of items they offer below 10€ is enourmous, so no complaints from me.

Quoting Mithi:

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But I don't really care, I just verify the cheapest price available to me is.

Exactly.

  want the cheapest, then why wouldn't it be wort investigating some more? 

How is it in Switzerland, the other "different" country?

I'm actually quite supprised that so many search the cheapest price all the time.

To me it has always been selecting a good store with generally cheap prices and good service. Just like you choose what grocery store you use. Sometimes the store i use doesnt have the item i'm searching, so i buy it from another store. Sometimes another store has a sale that i cant pass out. But i always have a sertain store i keep going back to.

Havent ordered outside of Finland in a few years, untill now, so a bit lost. But my favorite store has always been DVDPacific.com, too bad US DVD's dont have finnish subtitles (otherwise id probably get all my DVD's form there).