Actually, while many stores get their budgies from local breeders, many get them from bird mills.
Anyways, most of my birds were adopted (and likely originated from pet shops). I adopted Noah from a family who bought him from a breeder. Anyways, most of my budgies are actually pretty trusting of me (all it took was to build them an indoor aviary and to keep them in a mixed species flock). Ju, Ziggy, Rumi, and Samantha will often come over to talk to me, and everyone (except the kākāriki) will eat from my hand. Rumi and Pollo are a bit of a pain because they like to bite me while eating from my hand, since they're little brats who want to see how much of a chump I am.
Anyways, Rumi used to preen my hair all the time, but now that she's lost her ability to fly (neurological problems), she's gotten a bit skittish around me. A lot of them enjoy running over to my hands to steal bits of veggie while I'm attaching them to their branches. They also enjoy bathing while I hold their bath for them. If I hold a mahogany pod up to them, they really enjoy shredding it and will gently poke at my fingers (well, "bite" in the case of Rumi). I've also target trained Rumi, Pollo, and Ju.
Budgie's are really amazing creatures. Just be aware that they're prone to obesity related illnesses (fatty liver disease, lipoma, heart disease), as well as cancer. I'd recommend giving all budgies that liver detox made from dandelion root and milk thistle made by Birds Rx, Avian Rx, or whoever the heck it is that makes the stuff. I've had three budgies with cancer, including little Alice who would've turned three this Halloween if it weren't for her gigantic kidney tumour (size of a loonie). Ju and Lara currently have cancer (testicular for Ju, and hip and abdominal for Lara). I give them the dandelion root extract in the hope that it will fight the cancer (look up the Windsor dandelion root research). Ju's had testicular cancer for about three years now, so I think it's been working. Dr. Morris only gave Lara a few months, but it's been over a year now, and she's still doing quite well.
Anyways, from my experience, I'd reccomend against getting an albino or a yellow budgie. The albinos are prone to neurological problems (strokes, seizures) as well as physiological problems (weak organs, poor immune systems, deformed bones, bad eyesight, etc.). As for yellow budgies, Maria died when she was only three from organ failure, Simon was less than two when he died suddenly for no apparent reason (I'd only had him for six weeks, and he also had problems with bleeding from the slightest touch), and Rumi has neurological problems (she's had two bad episodes, leaving her flightless). When Rumi has an episode, she becomes unresponsive, extremely weak, disoriented, drowsy, affectionate like a chick, and she has to be cared for by Pollo and Noah for several days until her brain starts working properly. When this happens, I have to lock her inside the cage for her safety, since she becomes confused and falls off branches and tries to fly.
Right, so my first choice would be to adopt from a shelter. My second choice would be to buy from an experienced, knowledgable, "responsible" breeder.