Wal-Mart, Target, etc. are only going to carry a handful of exercise dvds, and even then only the most "popular" mainstream ones...Target is currently carrying the Yoga Booty Ballet set back in the fitness section, for instance...but 3 years ago they were selling the Winsor Pilates set. They simply sell what is most popular.
If you want the best variety-go to Amazon. On their dvds, they usually have Free Super Saver shipping, if your order is $25 or more. (Which I love...)
Cheaper than buying them in the store-no gas to drive there, no sales tax, etc.