Isn't it possible to buy online?
Popular & reliable online sites like,
Play.com, Amazon - doesn't ship Video Games to India. "Some restrictions apply" - they say, god knows what!
Gamestop does ship to India (not specifically written but they ship internationally) - but never heard from colleagues or friends, zero experience with them.
Remember: gamestop charges $59 for shipping. So for $49 (fallout 3) you'll pay actually $108 (~ Rs. 5100).
Steam is the another way to get it online. And I think for Indian users who want any games online, this is the safest way. No extra charges - only game price.
I've seen few Singapore, Thailand based website ships to India and they charge reasonably for shipping. But I prefer American (mainly USA) than East-Asian (thief !) sites.
In my opinion, If you have somebody in USA - get unreleased games through them (like I do)