You can still get insurance, but you may need to call Sprint and add it on afterwards. The downsides I can think of is that you may buy Best Buy's extended warranty thinking you are getting insurance, and that it may be harder to return the phone under warranty at a third party vendor than at a corporate store.
That being said, I did need to exchange the phone I got at Radio Shack due to a bad port, and had no problems.
Also, I'd say make sure your Sprint store is corporate, I can't say I've ever had a good experience at an authorized Sprint vendor.