You could also shop at an online bike store like
www.nashbar.com to broaden your options. No, you can't try them on beforehand, but modern helmets are quite adjustable, so unless you've ever thought that you've got a weird shaped head, it's certainly worth taking a look, anyway. You can always return them.
In particular, look for those with dial-adjust knob on the back for the best fit options. This is one of those higher quality features Brianmcg123 was probably referring to, and other elements, like channels that let air move across your head (and not just off your head, through vents), and locking strap guides. I'm not saying that Walmart doesn't sell helmets like this, and in fact they probably do, rather only you should look for those kinds of features no matter where you shop.