The original poster asked where folks have their photos printed. That begs a rather lengthy response....
There are MANY issues that must be taken into account when sending out for printing...not the least of which is the intended purpose of the final prints.
If you are just printing 4X6's for stuffing in a shoebox or for a simple collage to hang on the wall, then the discount stores and pharmacies are fine. However, be aware that they are in the business of high volume, and use printing machines that automatically correct your images to what THEY think is appropriate, to include contrast, brightness, and hard sharpening. They do not use archival inks or pigments, and therefore, you will see those pictures fade over time, especially if they are exposed to the elements. With rare exceptions, there is no human interaction in the process other than turning the printing machine on.
Now, if you want to have your photos professionally printed, you are going to pay a higher price, but the quality is going to be significantly higher. Additionally, you will generally get prints that will last for many, many years (Sometimes more than 100 without fading).
Additionally, choices of paper type are much more varied, AND you can get specific ICC profiles from a high quality printer that you plug into your computer for the printers and paper they are using in order to match what you see on your screen. Those outside printers also usually give you the option of additional post-processing if desired.. or will print your pics exactly as you send them.
A couple of very well known, and high quality printers are
http://www.mpix.com
http://www.bayphoto.com (I use them when I need outside printing)
These printing companies are heavily used by both pro's and amateurs when they want top quality. Wal-Mart, CVS, Walgreens, etc., are simply not of the same quality level.
If you decide to do your OWN printing, you again have choices to make. Those low cost "photo" printers are not going to give you anything more than what you would get from the chain stores. In order to print photos that will equal or exceed those of the professional printing companies, you will have to use printers that are designed for high-end photo printing, using archival inks or pigments, and are designed to work with software like Photoshop, Lightroom, Aperture, or Elements...allowing those programs to control the color management, rather than the printer.
I happen to be a Canon aficionado, and think the best deal in the world right now for a highly functional and impressive ink printer is the Canon PixmaPro 9000mkII. It uses eight ink cartridges to give a wide color gamut, and that ink will create very long lasting photos to sizes up to 13X19. The printer has been offered by Canon for a very low price if bought with a Canon camera, and a lot of people are taking advantage, then selling the printer separately. You can find unopened, new 9000's for less than $300 on Amazon and eBay as a result. Replacing all the cartridges at one time will cost you about $85 (Amazon). This is a phenomenal printer for the price, and will give you years of service, and happy photos. It is a prosumer printer.
(I own one for printing 4X6's to 8X10's.)
Beyond that, I use a large format printer that uses archival pigment inks, and prints on rolls up to 24" wide... but that's a little different league than what you are asking.
The most important thing to consider beyond WHERE to print is to insure that what you see on your monitor matches what you get as a print, regardless of whether you print yourself, or send out. That requires color and brightness calibration of your monitor that can only be effectively done using a calibration device. Those range from a low of just over $100, to well above $1000 depending on the amount of features required. In almost every instance, people have their monitor brightness set FAR TOO HIGH when processing photos. This results in prints that are much darker than what you saw on your screen, though the chain stores will increase brightness to what they think it should be... but it doesn't necessarily match what you expect.
Calibration devices are available on Amazon and elsewhere from companies including:
http://www.X-Rite.com
http://spyder.datacolor.com
All in all, if you just want quick prints, and don't need super quality, then the chain stores will work for you just fine. BUT...if you want high quality work with a range of choices for final output, then go to one of the pro companies, or print yourself using a printer capable of wide color gamut, and archival inks or pigments.
Good luck.