I researched this quite a bit when I wanted to return/exchange my iphone 4. I'm not sure how this transfers to products OTHER than the iphone, but here's what I know: You can only return your iphone via the place you got it from. I bought mine from Walmart, and was turned away from the Apple store with them telling me I had to have bought it from them to return it there.
When I went to Walmart, they said I couldn't return it there either because I was returning it to the store that I didn't buy it from. They apparently need the actual signed contract to do the return, and that was only accessible from the store I bought it from. However, I think this part of it is Walmart specific. I'm 99% sure that if you bought it from an Apple Store or AT&T store, they'd do the return from ANY of their stores.
This is what I was told from the Apple store rep. I also found this out after being told over the phone that I COULD return it there, only to be told once I made the drive out there that they can't return the phone there if I didn't buy it there. Needless to say Apple's customer service dropped some points after that.