There are some issues with parking in Wal-Mart parking lots but it is mostly a safe thing to do. You just to need to use common sense and look around the surrounding neighborhood as well. The location has a lot to do with the safety factor. There are some Wal-Marts in bad neighborhoods of some cities. Look around as you drive near the Wal-Mart store . If there are lots of other nice stores nearby, the police will be around. If there are bars on windows nearby, the police will also be around but you shouldn't be.
It is all about what you are comfortable with yourself.
I personally don't sleep as well in parking areas because I am awakened by every loud vehicle or noise and wonder who it is and what they are doing there. Compare this to either a busy or a remote campground, I know what everyone is doing there and rarely ever hear another vehicle in the middle of the night.
Although all types of people shop at Wal-Mart , one can argue that the RVer is putting a very expensive vehicle in the parking lot of a place where more poor people shop. If you have a nice rig, you are putting yourself in front of more people who may be spending their last few dollars to their name. That is a terrible thing to say but it is true that desperate people are more likely to commit a crime than someone who is not desperate. Would you spend the night in front of a liquor store, a bar, or a homeless shelter if you could? Most would probably not choose to do so.
Most Wal-Marts have security cameras and private security. However, the cameras are there to protect Wal-Mart and not you. We have read stories in the past where they would not eagerly release tapes to help in crime investigations.
It is probably best if there are a few RVs in the lot. This is part of the safety in numbers belief. We have heard about RV's being painted or “tagged” with grafiti at night. The parking lots may be a hangout for local teenagers with nothing better to do. This will probably impact your sleep more than your safety.
You may want to get creative. Whether or not you have a gun, sometimes decals or signs are a deterrent. You could put a sticker of a law enforcement support group on your door. Either by making it up yourself or donating to one and getting it in return. While these make a lot of sense because the bad element will probably not bother and just go away, there are some issues with it. This tactic also depends on the state you are parked in. Many states do not allow you to have a weapon in your RV. You are also advertising your method of defense. You don't want to start the old “take a gun to a knife fight” battle.
If someone knocks on your door at night in a parking lot, don't answer it unless you know a police car is outside. They are either asking for money, trying to sell you something or causing trouble. You could yell out, “Is that you Big Al? I thought you were going to be another five minutes!” Or maybe in your best strained voice “what do you want, I'm really sick. I'm puking all over!” No one wants to get close to that. Be creative and stay safe.