I use a CC for almost all online purchases. I've bought quite a few games from GMG with no problems. Just bought a couple more yesterday in fact. Most CCs offer some sort of fraud protection anyway.
I've actually had a problem with mine before though. Someone apparently went on a shopping spree out in California with my card number. Not sure how they did it, but they apparently bought a bunch of nice clothes (well, I assume based on the cost, I didn't actually get to critique their purchases). I called Amex and disputed the charges and they removed them all from my bill and sent me a new card.
"The whole problem with the world is that fools and fanatics are always so certain of themselves, but wiser people so full of doubts." -- Bertrand Russell (I think...)