The only time I've ever done that was for gta4, I queued up at a supermarket, there was a few hundred people there and the supermarket had extra security on, it was my first time doing this and was quite exciting standing in line wAiting for the games to be brought out.
There was a queue for 360 at one till and for ps3 at another. After about an hour or so they brought out the games, I was about 3/4 up from the front of a huge queue, anyway they started selling the games and the piles of games were going down fast, It was looking like they were gonna run out b4 I could purchase one, I almost gave up queueing but I hung in there. People were purchasing their game and walking out holding it up like a trophy, long story short I got the second to last copy they had. It was a cool experience but don't think I would do it again. I took two days off work ill so I could play it lol.