We looked at CarMax almost 10 years ago. If anything, it let us compare a couple different vehicles we were researching as a family (Highlander, Pilot, MDX). Ended up liking the MDX, but not the one they had on their lot. They do tend to be marked up a bit, but what they're selling is usually a pretty decent all around vehicle.
My own used cars have always been bought from private parties, but sometimes you don't know quite what you're getting (bought a Honda when I was 16, turned out to need a LOT of work).
The black Cruze was bought new from Hendrick Chevrolet. Didn't much care for the dealer nor the salesman. The blue one was from Koons. Great salesman and great incentives on the car.