Let's say that Project Natal for the 360, Netflix 1080p, and a host of other cool products are released all at the same time which have the public rushing to try them out. A Microsoft store in major cities might give people a chance to go experience the products in person instead of going to Best Buy, Wal-mart, Target, or any of the other tens of thousands of retail locations selling Microsoft products.
The real question to ask is:
Does it matter?
The Apple store gives people a place to try out Macs that aren't sold at every retail location including Wal-mart. They also sell Mac software and accessories for Apple hardware. A good reason to have a store, but they could do the same thing with a small section in Best Buy. I'm sure Apple could easily have one or two dedicated Apple employees in Best Buy to sell their hardware.
What are we missing?
The Genius bar.
The Apple store isn't just a retail location. It is also a training, service, repair, and support location for Apple products.
Will Microsoft be doing training, service, repair, and support for Windows PCs sold by licensed OEMs in the Microsoft store? I highly doubt it.
I think it will be interesting to watch, but I have my doubts about the impact of the project. I consider Microsoft stores to be largely irrelevant since people have easy to Microsoft products via many different venues.