Kenneth R. said:
You are.
Stores don't call up bands and buy CDs in bulk. They deal with labels. And labels deal with distributors. Everyone gets a piece, with the band getting their cut from the label. If you don't have a label, you're doing all this coordination yourself, and stores don't even know about you because you are not a distributor. You may even have to pay the store to shelf your stuff. I am not certain. But, the way I see it, directly from band to fan seems to be the highest profit margin, at the cost of accessibility to those who do not have internet, credit cards, etc. and also they won't see your albums in a store near them if you go this route. Also arglebargle is right about public sales getting you some popularity.