The US 501 (Roxboro Rd) corridor between I-85 and about Durham Regional Hospital (just north of that Wal-Mart) is an "okay" area but has some areas with more poverty and with somewhat higher crime. I've had the same unease about that particular Wal-Mart. (There's a new Wal-Mart Supercenter opening off the Glenn School Rd. exit on I-85, about 10 minutes drive from there, next year -- I'd be shocked if that US 501 Wal-Mart you visited stays open as I bet it will close.)
Further west from that Wal-Mart are some very upscale neighborhoods (Guess Rd/Cole Mill Rd. corridor); further north on US 501 is also a fine area. South of/nearer I-85 are a few really terrific neighborhoods (Duke Park, as well as Old North Durham and Northgate Park.) Further east you get into more rural areas.
The projections for the next 25 years show the major development area in Durham being the northeastern part of the county -- north of I-85, east of Roxboro. So redevelopment (with the uncomfortable gentrification that follows) is on the way as the economic forces drive re-use of land, but that's a mid- to long-range prediction.
In terms of actually seeing where crime happens -- the Durham Crime Mapper is the thing to check out.
http://www.ci.durham.nc.us/gis_apps/..._entryform.cfm