People are perhaps deservedly ragging on Wal-Marts in this topic, but I can attest the ones in my home town of Joplin, including their first really big store that became their model for SuperCenters (well, two buildings later), have plenty of skylights, enough so that you notice it when the sun gets hidden by clouds.
Can't think of any other big box store that does this, though.
And while on this topic, one of the above mentioned new buildings was required by our 2011 tornado, which much more thoroughly wrecked our high school. The upper half of 11-12th graders were quickly (less than 3 months) ensconced in a failed big box next to our shopping mall, which all in all they were reported to like. (Better than the middle schoolers who were next to a dog food factory in an industrial park. :-)