I was always skeptical of the good paint stores until I started using them. Now I"m completely converted.
As said above, they have better coverage and need fewer coats, plus they wear a lot better (my experience was with Sherwin Williams & Benjamin Moore). The employees there are a lot more knowledgeable and helpful about painting surfaces, techniques, top coats, various primers, etc than those working the paint desk at your big-box home-improvement store. They actually know what deep-primers are and how to custom mix them for both the paint and the surface.
Ironically, I've learned that the increased cost (roughly $20+ more/gallon vs Lowes or HD) is more than made up for with fewer coats and a longer-lasting finish. I get better results with two galllons of Benjamin Moore paint on top of primer than I do with 3 gallons of big-box-store stuff, and I finish a day earlier.