I get groceries from a local, small grocery store/butcher that has been around since the 1940s. They have everything a grocery store should have and nothing they shouldn't (trash cans, garden hoses, tires, suit cases). This store buys and sells locally grown veggies and fruits when available and almost all of the meat from the butcher is local but the seafood.
I buy household products from a local, small general store that has been around since the 1960s (bathroom products, cleaning products, kitchen/cooking products, etc).
I buy home improvement supplies from a local hardware store/lumber yard that has been around since 1910 and is family owned and operated.
Almost all my electronics come from Newegg these days but for larger appliances there are several local stores that have everything you will find at Home Depot/Lowe's for usually less $$$.
It's hard to buy clothing at local stores though and I usually have to go to a national chain which is 90% of the time Kohl's or Sears. Sometimes Old Navy for casual clothes. We do have local clothing stores for women but none for men.
There is an excellent wholesale furniture store that is local and family owned/operated that has everything you can find at Haverty's or other big chains. The best part is you don't have some shmuck in a suit following you around the store.
I go to a local pharmacy, local tire shop, local auto-parts store, local video rental store, etc, etc. BTW when I say local I mean a non-chain small business.
As for Wal-Mart, I just never have much of a reason to go in there. I also find it annoying to find a parking spot, walk through the 100,000 s/f store, deal with employees who don't give a damn, cheap products, etc.
At my local stores I know everyone, I get great service, I am supporting my local economy and I like to do it. Those are my reasons. If someone has a problem with that I say you are the elitist then for trying to tell me how to spend my own money.