Walmart makes me feel depressed. Piles of awful, consumeristic shit everywhere. This, plus the fact that it is owned and run by truly terrible (in my opinion) people mean I go there only as an absolute last resort. I try to buy most things at non-chain or smaller chain stores (especially those that are known to treat their employees better) when I can.
I prefer not to shop at a place where the employees don't look like they can make ends meet. I'm not sure that is helping or hurting people on the whole, but it makes me feel better.
I wish places which underpaid their staff allowed you to pay a surcharge that would be distributed to the staff (plenty of supermarkets, petsmart, etc. will try to hit you up for small charitable donations -- I'd much rather add a few dollars to my bill to pay the employees better).