I would rather deal with the Apple Store also, so they can set up very quickly, and I can get some other goodies like a Case, an iTunes Card, and if this iPhone doesn't come with one, (iPhone 3GS didn't come with one) I'll buy a cleaning kit with cloth. Also, I love lines!.
Plus if you reserve it, on launch you will be in the reservation line vs. the regular line and be first in the store.