Like OVM said, I don't go out of my way for much of anything, especially something as routine and pedestrian as oil. When I'm driving right past an Autozone I'll stop in. I drove right by two of them today while on a load. Stopped both times. Got three quarts each time.
I do it that way for two reasons. One, every three quarts is a single $20 purchase, which gets me a point, and after 5 points I get a $20 credit. Two, it's precisely so that I don't have to take time out of my day to go buy oil. The filters I buy 10 at a time and always have them with me. At any given time I may have anywhere between 3 and 20 quarts of oil. If I've got more than 20 quarts, I'll wait until the next oil change to start grabbing more oil.
When Autozone has the Mobile 1 synthetic 5-quarts and a filter for $29.95 I rack up, since that's equal to one free quart of oil and a free oil filter (the oil is $7.50 a quart, give or take), plus a point towards the 5 points. The last time they had that special, back in May I think it was, I had 45 quarts of oil in here by the end of the month.
I do my own changes, usually in a truck stop parking lot. The Fumoto Drain Valve makes it a no-brainer, quick and easy and no mess. It drains into the goose-neck spout of a 2.5 gallon gas can. So I waste no time driving anywhere to get my oil changed. I'll dump the oil the next time I go to an Autozone, even if it's several days or a few weeks before I stop in at one.
If I didn't do my own changes and relied on a dealer to do it, I'd be doing the same quick and easy and would take it to a dealer, like a Freightliner (I can't see myself taking a Sprinter to a Walmart, regardless, but that's me), but I'd also be providing the oil and filter for two reasons. It's as cheap or cheaper than they can provide it for, and I'll be absolutely 100% positive of what kind of oil they put in there, since a lot of dealers, especially Freightliners dealers, are known for putting in Mobile 1 Turbo Diesel, which is on Approved List and is perfectly fine, and it's what they use in most of their Freightliner trucks.