Here is a list find on Google Maps. And if you are interested there is also a museum of videogames, the Vigamus.

"Are there video game stores in Spain and Italy?"

No, in Italy we don't have videogames: only mafia, pizza and berlusconi if you're interested

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Are you visiting Rome? You need something of very close to your position then.

updated question, please answer the one about the duty free.

don't know, but I would probably look up the Italian translation of "video game", then look that up.

There are a lot of stores.
Gamestop, Euronics, Mediaworld, Trony, Eldo, Saturn and La Feltrinelli too.
They are everywhere, 3 Gamestop are in "Via Appia Nuova" (Metro Line A - Stop at Re Di Roma) and "Via Tuscolana" (Metro Line A - Stop at Giulio Agricola). La Feltrinelli is near the Coliseum and Piazza Navona in "Galleria Alberto Sordi". Trony and Euronics are in "Via Appia Nuova" (Line A - Stop at Furio Camillo) while Eldo is in "Via Tuscolana" (Metro Line A - Stop at Lucio Sestio).

In the Airport Duty Free i don't remember if there's a store.. sorry :)

My personal advice as an Italian citizen. Do not buy videogames or electronics in Italy: in the most cases they cost more than in your country.
Btw if you buy only videogames nothing happens. Dunno for a brand new console but, imho, you are not in "danger".

Anyway Game Stop store locator

From experience, you rarely get many real electronic bargains at duty free. Whatever you save on taxes usually gets counter-balanced by a price-hike in the store. Add to that the hassle of returning it if there's an issue, and you're onto a loser.

I suspect getting it from someone like Amazon would not only work out cheaper, but would probably save you a heap of headaches if there's a problem with the unit.

www.multiplayer.com?