I avoid Wal-Mart if only because I don't like associating with the dregs of society. That said, the clientele has improved, at least as far as I've noticed. When the first Wal-Mart opened here, it was out in the boondocks near a trailer park, so it was full of absolute filth. Now they've got more central locations and it's become more socially acceptable to shop there, so you see some actual normal, functioning human beings when you go there. Full disclosure: I've been to one approximately 5 times in my life.
Otherwise I do try to support local or independent businesses when I can. Not to the exclusion of others, or to my own detriment if I'd end up paying way more for the same thing. I don't have any huge ideological hangups about business or corporations, I'd just rather support the little guy over the behemoths is all. In general I will also tend to avoid ultra successful brands for clothing and the like as well, again if only because I don't want Nike to rule the world or whatever.
I can't really think of any specific companies I've boycotted or avoided because of ethics or the environment. In general I don't think that consumer choices can make much of an impact 95% of the time, although there are some exceptions. I think people's time and energy is far better spent on electing politicians and lobbying governments to enact regulations and the like to fix market failures. Consumer action often ends up resulting in bullshit "greenwashing" that doesn't end up making much difference in the end.
As far as businesses my company won't do business with, primarily we won't do business with people we know we'll have difficulty getting paid by. I was going to say because of that we don't work for people of Indian or similar descent, but that's not true. We're just extremely careful with them! Probably half our work right now is for Indian developers, some more tight fisted than others. I don't care if it's racist, it's a goddamn fact that Indians are cheap as hell and take a dim view to honoring contractual payment terms.