Amazon provides you a return label. You seal up the box, put on the label, drop it at a UPS Store or some other such place. No lines, less fuss.
Granted for me there's a UPS Store on my way to work, so it's easier than most other stores, but even if that wasn't the case, the lack of waiting in line is a plus. Particularly at Fry's, where every return has to be approved by multiple people, and sometimes you have to take a form back to the register to get your actual money or credit back. While Fry's is good about taking just about anything back for any reason, the process is a nuisance.