I am normally not a fan of Big Box stores and rarely if ever go to Wall-Mart. However, I must admit that I do love Costo. Costco does big box as best as it can be done. In fact, I have recently been in a Costco where they let local merchants sell theyr wares at the entrance. In addition, they pay their employees well.
So if you have to shop at a Big Box it should be Costco!
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