I've ordered from both and the only difference I had was when buying from AT&T (online) is that it had to be shipped to the billing address, where Apple allowed it to be shipped elsewhere.
If you're going into the store, I doubt you'll have any different experience.
When I purchased through Apple, and had an issue within the first 30 days, apple replaced it with an iPhone in a brand new retail box. When I purchased from AT&T, Apple replaced it with a phone from a generic black box.
When I purchased through Apple, and had an issue within the first 30 days, apple replaced it with an iPhone in a brand new retail box. When I purchased from AT&T, Apple replaced it with a phone from a generic black box.