My first "official" D&D purchase was the Moldvay Basic set in 1981, which I picked up at...JC Penney! Yep, in 1981 JC Penney had a neat little game section lost in the middle of the housewares department, and D&D sat proudly amidst the Rubik's Cubes and Bridge sets. I can still remembering carrying the set across the high-rise bridge to Maas Bros, and sitting in the cafe there with breakfast, rolling up my first B/X character (an elf, of course).
I say "official" above, because before that I was picking up fantastic Judge's Guild products, like the Wilderlands of High Fantasy and City-State of the Invincible Overlord at... the local hardware store! Hard to picture now, but there was a flat table covered in JG stuff there, as well as some Arduin stuff (which I thought looked weird at the time and ignored ;-) and a glass display case of lead orcs, goblins, and knights.
In all of those formative gaming years of, say, '78 through '84, I never purchased a single D&D product in what we would consider today to be a "gaming" store. Catalogues from Sears and Penney were a mainstay, as well as the shelves at the local B. Daltons and KB Toys (which also carried a nice selection of my beloved SPI and Avalon Hill wargames). I have vague recollections of visiting a couple of "real" gaming stores, and these seemed to be populated mostly by countless napoleanic and WWII minis, and the little houses, trees, and other set-pieces to embellish your small-scale battlefields with.
"Real" game stores were a fixture during my college years in the early 90's, and I miss the abundance of these to some extent, but not as much as I miss the heady years of the early 80's, when it seemed our hobby was amply represented just about everywhere, and where you least expected it to be!
What non-LGS places do you remember fondly?