I've never heard of a mass merchant. I've heard of a Hypermart, but I think they're all closed now. Anyway, in my experience Target and WalMart have the best game selections in general, followed by Gamestop, then Circuit City and Best Buy. That all varies depending on what platform's games you're looking for.
When I think of a department store, I think of Sears. They have a terrible game selection, although that is where I found my Wii. They typically only sell games to grandparents, I guess.