you'd be surprised at how big of an impact these stores have on the local economy. as far as nobody spending all their money at Wal-Mart, have you ever been to one of those super Wal Marts with the grocery stores tacked onto them? It is a one-stop shopping center designed so that you never have to go anywhere. alot more people than you think are doing all their shopping there.
i didn't mean to single out Wal-Mart. Wal-mart is what the thread was about so that was my example. This applies to all chain stores including your examples plus, Borders, Barnes and Noble, Blockbuster even McDonalds and Burger King.
you're not crazy. you just have to think in the long term. yes, you might save $5 on a dvd today, but when the time comes around for your town or city to re-do the budget and revenues are down you'll spend it on taxes. the money you would save there would be more significant, but its less tangible so people don't realize that.
you're not crazy or a bad person for shopping at Wal-Mart, but you might want to think about your spending habits.