Most major cities have a selection of adult toy, book, and video shops that are somewhat (or even very) sleazy and uncomfortable to shop in, generally because they aren't clean or kept up in any visible way, and the clerks and even the customers don't seem to want to be there. However, not all adult shops are like this, and some will have female staff, witty gay clerks, or an owner who works behind the counter and has a wealth of knowledge to share—even if it's just knowing on which shelf to find a particular title. Many adult shops have an arcade in the back, where men pay to test drive the videos. This is a little unsettling for those who aren't familiar with this culture, and many women might feel worried about going into a store with an arcade; keep in mind that arcades have been around since the invention of moving pictures, reaching a heyday in the 1950s. Unsettled to know that men are masturbating in the back while you shop? It happens every day and night, even holidays. Smart girls call 'em "jack shacks." See—now they're just funny.
The best way to handle nervousness is to march right in during daylight hours, bringing a friend or two and ignoring everyone else. But believe me, after years of going into every kind of porn store imaginable to do research, I'll bet cash money that if you're a woman and you go into one of the seedier shops, you'll be the only one in the store within two minutes. Our culture is so packed with sexual shame that whenever I walk into a jack shack to find a DVD, the men run for cover, leaving me free to take my sweet time shopping for my next rental.
Your local mom-and-pop video stores will have a closed back room where they keep the adult DVDs, away from the tender eyes of those under eighteen. Some stores opt to save on space and will have their video selection in large books that are kept behind the counter, containing box covers in a sort of big flipbook. If you don't see an annex for the porn, or a room with western-style swinging doors, ask to see the porn books. Expect that the adult titles will be more expensive than what you usually pay for a rental???they are much less likely to be returned than other videos, and retailers like to have insurance against losing their stock (hence the higher prices).