I have been doing this successfully for 5+ years. I've never missed what I've sought. I usually am going for 1 or 2 high value electronic items. Last year I was primarily after Circuit City's $199 laptop.
Usually I'll keep it to one store, two tops, since I'm a man and my shopping skills are stunted.
My preferred strategy for the primary store:
1. Keep it very simple - 1 or 2 key items.
2. Scope it out the day before - know where things are. If you can find the key items, count them to know how many there will be.
3. You DO NOT have to be first, but be one of the first 10 in line outside. At Best Buys here, that means being there about 3AM. At Circuit City last year, it meant being there before midnight. The $199 laptop was a huge draw. All the first ten people were there solely for the laptop.
4. You DO need to be first at checkout. If you are not in the checkout line within 3-5 minutes after store opens, you will probably be there for hours. Especially at electronics stores. Margins are very thin (even negative) for the loss leader items, so sales persons are commanded to try to upsell warranties and services to improve margins. This practice takes a very long time - maybe even 15+ minutes for each customer. For this reason I prefer to go alone to make myself lean & mean and in line first. I am usually checked out and back outside within 10 minutes.
That's it in a nutshell, though there are some trade secrets I'll keep to myself! See you in line...
Don