I hold garage sales frequently for my domains, I find that works best. I put a few out by the road in boxes with real cheap prices, to entice people to stop and look. The more premium domains I keep in a glass safety case right beside my la-z-boy chair and the beer cooler, where I spend the day relaxing in between customers. There are a bunch of real cheap domains I keep in dusty boxes under the table, people can thumb through those and buy them at around .25 cents each. Sex sells, too, so I pay my cute neighbor to stand out on the sidewalk in her bikini and wave a sign over her head to entice the passing male motorists, I put a couple attractive domains on the sign and say they're 'buy one, get one free'. Yes, there is no better place to sell a domain than holding a garage sale or yard sale.
Hang on... maybe I am getting domains confused with my vinyl records.
For actual domains, my best selling venue is Google. I have them listed on Sedo and Afternic, but on those marketplaces my sales are far between because it's 'passive selling' - you just list it, and then sit around (on your la-z-boy) and wait for anyone to stumble across them and buy. Almost all my domain sales have been sold through the process of me contacting end users via finding them on Google.
Second best selling place is my domain's landing page; I keep a simple and clear lander for each domain and have my email address on it, and receive a steady trickle of 'how much' emails each month.
Third best selling place is the marketplaces (sedo, etc).
Fourth best place is the garage sale thing.
I know other people here use other tactics and venues, like Flippa and also setting up Facebook/Twitter accounts for their domains, and seem to make a few sales that way too, but I've never tried those.
Good luck