The problem with Wal-Mart (and this problem isn't exclusive to Wal-Mart) is that they're so focused on selling cheap stuff. Like Stephen Colbert says, America wants its $12 bag of tube socks and we don't care who we have to step on to get them.
But we don't think about who loses out when stuff gets made cheap. The materials cost as much as the expensive stuff (maybe a bit less, since you're using crappy materials), and the CEOs are certainly not going to be taking a pay cut. What's left to cut is pay and working conditions for the workers.
SOMEONE pays a price when we buy stuff cheap. Actually, we also pay a price, because what we buy is inevitably not made as well, and won't last as long. I have a $100+ pair of sneakers that I've probably saved money by buying, because they've lasted so long and I haven't had to buy replacements for them every few years like I would with cheap shoes. Also, they look awesome.
That having been said, I can't imagine shopping at Wal-Mart -- not because they're evil, but because the stores are so huge and run down and confusing. I went in once looking for oven mitts, and in a half hour and asking three people, I never found them.