for local events, esp NW Chicago Burbs, it's a very good idea if the WalMart wants to run it. I'm looking to either set up or revive a league location down in the University of Illinois. Currently there is a league at a local card shop, but I don't know how many ppl go to that league as the card shop doesn't post league numbers. If that store is still willing to run them, then I might think about there.
Generally, local card shops are the best places to run events. If no local card shops are willing to run events, WalMart and similar stores (Target, KMart, etc) are probably the next best choice. Some large colleges might also be willing to sponsor a league if it has some support from within the college. You never know...