Welcome to Android Forums, Black Hawk.
The short answer to your question is it's a crap shoot. As a long time AT&T customer, I can tell you I've done it all ... pre-ordered, in-store purchase, third party contract (Target and Radio Shack, Best Buy, but it's pretty much the same deal) and bringing Non-AT&T devices into their network (Nexuses? ... Nexii?
).
Here's my take on it. Unless the pre-order price is so attractive that you can't pass it up and you absolutely need to be an early adopter, then I'd prefer not to lock into a device that I haven't had the chance to see.
In-store is really not going to be a deal and the upsale pressure and/or incompetence of the staff is tremendous. It gives you the chance to pick up the real phone and play with it, and you can walk out of the door with one in your pocket (assuming they are in stock) but you'll be paying for it.
Third party vendors like Target, Radio Shack, Best Buy and Amazon Wireless usually have better deals. Sales pressure is less but so is service. You will probably have to move your contacts and data yourself and swap your own sim, or, depending on the phone, go back to AT&T and get a new sim. It's still a contract phone, just takes AT&T out of the loop as far as walk-in service. You have to deal directly with the manufacturer or service center. Now, the Best Buy's around these parts have the "Samsung Experience" booths in all the stores so they will be more likely to have them launch day, provide better support, but also less likely to discount them much more than the AT&T store.
Non-branded devices will work as long as they support AT&T GSM frequencies. Seeing as they use internationally accepted norms, you'd be hard-pressed to find a GSM device that didn't work. The exception is trying to bring a T-Mobile device to AT&T (or vice versa) but that's getting better, too. If there's a doubt. Check back here before you buy.
These are considerations that might matter to you or might not, but that's my $.02.
Sometimes I long for the days that Bell Telephone gave you the phone and you only had a choice of black or white.