According to the event website: "On this day, all of these stores will simultaneously link and act as one with the purpose of celebrating the culture and unique place that they occupy both in their local communities and nationally."
I think it's really important to shop locally and am a huge fan of independent record stores. I have fond memories of picking up gems in some of my favorite stores over the years--like Plastic Fantastic and the Mad Platter (Mads?) near Philly, Madhatter in Bowling Green, Ohio (RIP) and Aquarius, Streetlight, Record Finder (RIP), Grooves and Amoeba in the San Francisco Bay Area. Think Indie is one record store consortium that promotes buying at small independent retailers and their website has an extensive list of stores all over the U.S.
In semi-related news, here's another piece about the resurgence of vinyl records. "Digital Backlash Drives Vinyl Revival" covers the trend in the context of the 20th annual Eugene Record Convention.