Well, I remember Christopher Johnson from Therion saying in a message on Facebook or on his website that buying a CD at the merch stand of a show is like buying 5 CDs in a shop, since all the money goes directly to the band rather than being split with the store. Then again it depends on the store, if it's the one of the band's site, I don't think there's much difference, but if it's the label one, probably there are shares for more parties.