I admit that at certain times I do enter from the furthest entrance...and I always drive past the first spot, and bet on that second one. Quite often there is a better spot as I'm walking in, but sometimes there's not. So when faced with the opportunity, I follow the prudent strategy.
Now at an unfamiliar location (walmart, movie theater, whatever), I always try to find a spot that butts up against a curb (preferably on one side AND the back of the spot as well) to lessen exposure of my vehicle to other motorists (doors, bumpers) as much as possible.