I get the warm fuzzies entering Macy's... maybe it's the whole association with holidays and warmth and comfort (Macy's Day Parade attachment).
PLUS they carry Martha Stewart home goods (of which I'm a big fan) and I've never NOT seen a sale going on for shoes, clothes, jewelry... you name it. I have bought so many things here as either gifts or for personal use, you can say I am pretty loyal.
Their shoe staff is helpful and will even look up shoes for you off the clearance rack (most store staff don't even care what you think if you're buying off the clearance rack) to see if another size/color is at another store.
I would say the only department they lack in is the Lingerie department... tried to find wedding lingerie for a friend and Dillard's had much better selection and variety.