A Wal-Mart (or other department store bikes for that matter) is made to sell cheap. That means it is made form poor materials that won't stand up to any type of real use. They will rust, be hard to adjust and frequently can't be fixed with standard parts. Furthermore they are poorly assembled, sold without any real support and if they fit the rider at all it's just luck.
The bikes sold by local bike stores (LBS) may look the same, but they are not. The bikes are usually entry level bikes from "real" bike manufacturers. Components may be low end, but they are usually better than on department store bikes. Furthermore, the bike store support their bikes. They usually offer free adjustment and fitting initially and for a year (or more) afterwards.
Yes you pay more for a LBS bike initially, but for that you get a better fitting bike, initial and ongoing support, and a bike that almost universally will perform better and be more fun to ride than a department store bike. You are also supporting a local business.
Why does this matter? Consider the case of a bike for year round commuter use. I had a $600 road bike that I had used over one summer and put away for Winter. I bought a used low end department store bike for the winter. This is Canada (think ice, snow, road gunk, salt ..). The bike was unrideable 2 months into the winter. I switched to my "good" commuter bike. It took it all, and other than having to replace some drivetrain components (easily available), I rode that bike winter and summer for 6 years ... and still have it. The difference: mainly the stainless steel and alloy components ... they stood up to the dirt and grunge, and didn't rust ... while the cheap department store bike both rusted and wore away ... fast!
So consider your needs and buy accordingly ... but in my view it's "penny wise and pound foolish" to EVER buy a cheap bike.