I'd go with the T-Mobile store so you don't have a contract. My understanding is that retailers still sell T-Mobile phones on contract (so that they get properly reimbursed for the sale), whereas if you buy directly from T-Mobile you go on the no-contract plan.
It isn't a huge difference, as you will likely buy the phone on a zero interest loan, with the contract stating that you must maintain service until the phone is paid off. The difference, though (as I understand it), is that you only have to pay off the balance on the phone, if you are "no contract", as opposed to an early termination fee if you buy from Best Buy and want to change carriers.