
There is a large number of fake G-Shocks being sold on eBay, online stores and even in local shopping malls. A fake G-Shock looks worse, will easily fall apart and is not nearly as cool as the real thing.
Amazon.com is probably the safest place online to buy G-Shocks. And they have really good prices and selection too. Here's an easy tool to look up current good deals on Amazon:
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G-Shock Section of the Watch Archive
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Compare the seller's photos to the image(s) on the archive page for that model (example).
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Most fake G-Shocks don't even list a real model number for the watch (G-9000-1, DW-6900CS-1, etc…).
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All G-Shocks should have the word "Casio" on the face and on the back (might be small though)
Every real Casio G-Shock should come with a box that has the full model number printed on the back (by the bar code). Look for the official Casio G-Shock logo too. And a partial model number will always be engraved on the case back. It's probably a fake if the watch doesn't have one, or if it doesn't match the photos in the watch archive.
Be sure to check the details like the text painted on various surfaces. The knockoffs often have poor quality control. Fakes often use a very cheap LCD that stands out when compared to an authentic model. The real ones also should have a good quality backlight. Once you've handled a few real Casio watches and their packaging it becomes much easier to spot the fake ones. You can go to a known good retail store like Macy's, Target or Sears to see a real one in person.
Most of the fakes are pretty easy to spot. Like these crappy Baby-G watches: