Mikey, I feel the same as you -I always prefer to do this stuff myself.... HOWEVER, I have a suggestion (based on experience) -make sure that you check the new iPhone as carefully as possible before you leave the store, or just let them do the activation so that it gives you a chance to check it out for yourself..... the reason I say this is because if you get a faulty iPhone 4 (could be something major, could be a dead pixel or scratch) and leave the store with it, it could be literally weeks until you get a replacement, especially with the ultra-high demand this time around.
I hope this advice helps, it is worth considering