Yeah, I'm not a fan of Wal Mart either. I only go there when absolutely necessary (like if I need, say, a printer ink cartridge and it's the place I'm closest to).
Their CD/DVD/game department isn't that good. I went there looking for a DVD to give to my cousin once and it took me forever to find it. The DVD was a new release at the time too.
Even worse luck with a CD. All they had was mainstream stuff. You would think a huge store like Wal Mart could import some stuff but no. I'm all about Europop (which is sort of strange since I'm a pretty mainstream guy everywhere else). Thankfully I've got a buddy who also hates mainstream so he can download stuff for me. I've found Border's to be best for music.
My uncle had trouble finding my cousin a video game (I think it was a Paper Mario game for the Game Cube, if I recall) at Wal Mart. I was there looking for the DVD that day and he was talking to this guy who didn't seem to know what the game was or where they kept it.
The prices aren't bad (I think a Cannon printer ink cartridge is about $6 for a black one) but they just don't have all that much in means of variety or service.
As far as rentals go, I am usually like that with movies.