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.
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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.