Between the implosion of Fry's, and Radio Shack not quite lasting long enough to capitalize on the maker movement, it's pretty well online ordering or nothing.
I've often wondered why those places disappeared but then you remember nobody really builds PCs or other electronic stuff except as a hobby and most people are running laptops that can't be upgraded anyway.
Thing with Linux as much as I used it over the years, it's still no where near as compatible with weird hardware as windows. Windows just seems to be able to handle whatever hardware I've ever thrown at it.
Other than the very first few versions of Windows, the true reality is most probably the opposite: whatever hardware you've thrown at it is able to handle Windows. That is, both the hardware and its software (driver, firmware) have been designed for and tested with Windows.