I just did it myself, and fov is right. It's a good idea to look very, very closely at where game (or whatever item) is originally being pulled from.
Check out this availability for Beyond Good & Evil. On the right hand side of the page there are two small blue boxes, each giving a different price. In the 'Ready to buy?' box it states the game will come from the Target store. In the 'More buying choices' box it comes from Amazon.com itself. The discrepancy in how it treats your choosing to pay by check may be influenced by that.
Oh, and I when I opened up a new account at a local bank yesterday the banker and I where going over the details, and she said an increasing number of people and businesses are eschewing the paper check. More people are using debit cards, and this may have a great influence in how orders are paid for online. We agreed that it didn't matter if you're scared of identity theft from using plastic, the same things can happen with written checks.
If I were you I'd at least start another checking account but with a smaller balance ($100) and a debit card, and ask your bank for some kind of protection. Use that account when ordering inexpensive things online (like games). That way, if someone takes your identity via an online transaction they won't get away with much. You also need to check your balance every single day and look for any suspicious activity in your account and immediately report it. Many stores online offer the most up-to-date security when ordering merchandise, but sometimes it's optional so make sure you find the 'standard or secure' feature and click on 'secure'.