Returning an online order in person is usually the fastest and cheapest route. It removes packing, postage and the wait for a parcel to be received and processed, and the refund often starts moving the same day.
Not everything sold online is stocked in store
This is the exclusion that catches people most often. Retailers commonly sell a wider range online than any branch carries, and items that exist only online are frequently excluded from in store returns. Marketplace items sold by third party sellers are usually excluded too, because the store never handled them.
Bring what the policy asks for
Most of these policies expect the order confirmation, printed or on your phone, and the card used for the purchase. Without them a store can often still take the item back, but as credit rather than a refund to your original payment method.
The window may differ from the online one
A few retailers run different clocks for the two routes, or require that an in store return be started online first so the system expects it. Where that is the case, arriving unannounced wastes the trip.
What to check before you buy
Confirm the item is one a branch actually stocks, check whether the seller is the retailer itself or a third party, and read the store page for what to bring.