There are three things that you must keep in mind before you go shopping for women's clothes: 1) be prepared, 2) stay calm, and 3) always obey #2.
The first time I went shopping, I was very nervous, not to mention exhilarated. I had decided in advance what it was I was going to get and where I would go to get it. This is important. The first few times you go shopping, know in advance what you're looking for. If you're a nervous wreck, you won't have the patience to browse; you just want to get in and out. I usually go through catalogues in advance and plan out an outfit, then I decide what stores I will hit to get those items.
So you know what you're going to get, but where do you go? For lingerie, I recommend going to the department stores (e.g., Mervyn's, Macy's, JC Penney); you can make your purchase in the department so it minimizes the number of people you run into, though you do pay a bit more. The JC Penney at my local mall put the lingerie department right next to the men's department, so I've never explored it. Macy's is nice (at least at my mall) because the lingerie department is really spread out, it covers about 1/3 of the bottom floor of the store.
For shoes, skirts, tops, dresses, etc., I recommend going to the discount department stores like Ross, Marshalls, and T.J. Maxx. I once worked at the latter, so I had a good sense of what they carried when I started this. The only drawback to these stores is that you have to carry your intended purchase to the checkout counter in the front of the store. Deliberately try to get a female cashier at these stores, it is less intimidating that way; male cashiers know something is up.
Small hole-in-the-wall stores are a good place to shop also. Combination adult/lingerie shops are usually no questions asked; just look for one with a feminine sounding name, because they are usually woman operated.
OK, you know what you what and you've planned your itinerary; now what? You need to mentally prepare yourself and get your cover story in order. I always have a cover story in case anyone asks, but so far I haven't encountered anyone who was outwardly curious. The best stories are also the best times to go shopping: Christmas, Valentines Day, and Mother's Day (not for your mother, but for your *er, um* wife). Mother's Day only works if you look old enough to be married (and happen to have a wedding ring on your finger). The other two holidays are no questions asked and the best time to go shopping for lingerie (no one gives you strange looks). These two holidays offer the opportunity to browse the women's department unquestioned. So as long as you can maintain your composure, you'll be okay.
Other times of the year are a little harder. Some people recommend preparing a shopping list so it looks like you are just picking up what your wife/girlfriend asked you to. This provides validity for all those people you encounter, but I found that it doesn't look right if you are in your very early twenties or late teens; I don't know too many 18-21 year old women who would send their boyfriend to buy their clothes. But this is my opinion, you can try it and see if it helps. I am not ruling this out as a cover story, it works if you only get one or two items per store, and is a good reason to be there. But the prop doesn't look right in the hands of young guys.
I usually use the birthday excuse. You can also use the anniversary, wife/girlfriend's job promotion, or other special occasion. There are two routes you can go with this cover story: 1) you can be the thoughtful partner and take time, browse, and get something nice; or 2) you can be the insensitive guy who says, "Hey, she just told me what she wanted and I'm getting it, wrapping it up, and I'm done."
I have never been questioned so far. I haven't even gotten a knowing or surprised look; just indifference. My cover stories usually serve more as mental preparation and confidence booster. I know why I'm there, I'm buying something for so & so. For me, if I keep that story in my mind, while I'm shopping, I know I'm prepared to answer the question confidently should it come up.
This is easier to do than it is to buy, but it is a lot more intimidating. A straight return is not difficult, you're just helping out the wife/girlfriend. Exchanges are even worse. No one has ever questioned me when I've returned things (although it looks a little strange to see a man returning two skirts and a pair of shoes). To ease the tension, I always make it sound like I'm acting under orders: "I am supposed to return this and exchange this." This works fine on outerwear, but it is still a little awkward in the lingerie department.
Holidays are the easiest time to do returns. I have three stories that I use: 1) my girlfriend is sick (or had to go back to work) so I'm helping her out; 2) I had to do returns for myself anyway, so I'm doing this for my girlfriend at the same time; 3) my girlfriend and I created a new holiday gift policy, whereby if the giver screws up the size or color, the giver does the return. The last one is kind of lame, but it works.
As with buying, cover stories are more for your own mental preparation. I always take a Seinfeld/Costanza approach to the situation and am prepared to answer any question a clerk could ask (i.e., what's her name, where is she from, where does she work, etc.).
