Most retail stores deal with videogame distributor companies, not directly with publishers or worse developers. Wal-Mart might be different, not sure, but their process of getting a new product to their shelves is a difficult one, involving going down to their headquarters and competing with hundreds of other small companies doing the same. And then Wal-Mart (being who they are) would probably require that the game cost like $10 or $15, giving the developers like $3 per game sold, including covering manufacturing costs.
Unfortunately, the usual, easy way to start dealing with publishers or distributor companies used-to be at E3, but the new E3 isn't for new game businesses anymore, as you have to be *invited* to go, and distributors aren't invited anyways.