The "quality" of Wal-marts vary a lot from region to region. Where I grew up south of St. Paul, MN, the Wal-marts were largely quite dumpy, and there was a very strong perception that Walmarts = slumy while Target = nice and relatively upscale. The Super Wal-marts down here in the OKC area, particularly the new Super Wal-marts, are actually quite nice. It's still a big box store, but they aren't really any more "dumpy" than Targets.
That being said, I've also left my vehicle @ Super Wal-marts without any problems. There has also been a time or two when we left a chase partner's vehicle at a "Park and Ride" place in the OKC area. These are typically quite well-lit and reasonably traveled. I know of one Park and Ride place that sees regular police patrol, but I've never hung around this particular one to see how often the police drive by or through it. My only concern with parking in a business's parking lot (i.e. Walmart parking lots) is the threat of towing if someone notices my car in the parking lot for 12+ hours (i.e. long chases). Many 24hr Super Walmarts are typically busy enough that I'm not too concerned that someone will notice my car in the parking lot for that long, so it's not a strong enough concern that I avoid it. It also helps to try to blend in as much as possible (i.e. no antennae, etc). If it's a "normal"-looking car, there's no reason it may not belong to an employee, which could explain why it's been in the parking lot for so long.