I worked at a Wal-mart TLE back in college. First, Squishy is correct, it is just to tell if someone worked on it since the oil was changed. It also serves as a visual check that the plug has been tightened.
Secondly, alanu, believe it or not, but the plugs and gaskets Wal-mart got were the best quality and the closest to OEM of ANY lube shop I've seen. You'll have a hard time finding such a good selection at an auto parts store. In fact all of the auto parts store ones I've seen are generic junk. Not only that, they are the only shop that I know of that doesn't use oversize plugs(self tapping plugs that destroy your oil pan) Now that doesn't mean that some untrained employee won't use the wrong gasket on your car.
Bottom line is you will have bad service at any shop, including the dealer, so do it yourself.