Walmart is actually the easiest. You take your cert to customer service, and they'll give you a card. Whenever you check out at any walmart, tell them you are tax exempt first, they'll take the card and punch the number. Then after you pay you need to sign the machine a 2nd time verifying you are TE. Very little fuss and muss. If you have the forms pre-filled out, Kmart/TRU aren't bad, and Target takes a little time but they do it at the register and just need your number.
I try to do my shopping specifically at off peak times to avoid holding up the line, etc etc.
Now remember, even if you don't get the tax exemption, in NY (and I assume in most states) you can simply apply to get the sales tax refunded.
Why all stores don't use the same method Walmart does I have no idea. It's far superior, efficient, and makes the most sense.