How can I become a more responsible shopper?

I made a decision a few months ago, to stop shopping at Wal-Mart, because of their terrible attitudes to just about everything (other than profit), but I'm wondering how effective this approach is. It's relatively easy to find other stores to buy what I need (though I've drastically cut down on my consumerism), but how do I know that it's making any difference? I don't buy Nestle or Coke products, but are the manufacturers of the 'no name' brands just as bad, but without the publicity?

With an active toddler and a baby on the way, it's difficult to spend time going to lots of individual downtown stores and farmers' markets, so going to larger stores who have a better responsibility to the environment and humanity would be easier, if I knew which ones they were. Also, depression has turned my once sharp brain into mush, so investigating different stores and companies on the Internet is not so easy, with so much conflicting information out there.

Is boycotting certain brands and stores an effective way of being a more responsible shopper? What else can I do?