I prefer getting mine Mail order. Some of the reasons include:
1. Better selection
2. Potentially healthier (I picked mine up the last 2 years at the PO Distribution Center so less time in transit). Chicks in a feed store are also exposed to a larger potential number of infections and disease (i.e. there may be dozens or hundreds of potential 'carriers' touching or checking them out).
3. Ability to get chicks vaccinated for Mareks and Coccidisiosis (Feed store chicks generally are not vaccinated).
4. Chicks may be better taken care (While some in Feed stores do a great job taking care of chicks, others have no idea how warm they are supposed to be, etc.)
5. Better 'start': I am able to devote several hours to the new chicks when they first arrive. In feed stores the workers have many other things to do and the chicks may not have as good a start (i.e. dipping their beaks, watching their behavior, ensuring they begin eating and drinking quickly).
6. I'm able to get what I want. How is that different than selection? With mail order I can deliberate, change my mind several times, and end up with exactly what I want. I am too weak for the feed store: If I go into buy one kind of chick... I very likely may be weak and end up getting varieties that may not be my first choice just because they look so cute! (Thats not really the feed stores fault... I just have little self control when looking at little fluffy butts!)
Edit: The feed stores around me (there are only two of them) order all of their chicks from hatcheries. If they have chicks though from a local breeder (and you don't mind straight run) I would really consider the local feed store to help support the local breeders (plus less stress on the chicks being mailed, etc.)