It depends on the individual fixture. Every line has faucets that are simple to install, and also some that have many components and take more time and ability to install properly. I prefer Price Pfister for most applications other than tub/showers.
I need tub/shower and vanity sink fixtures. Is it better to purchase these at a plumbing supply shop or am I safe to buy them at HD? I have heard that the fixtures are lesser quality at big box stores but I don't know this for a fact.
I've seen $500 shower valves advertised, but bought $150-or-so valves at Lowe's. I like Moen. I think the big-box stores simply carry the less-expensive lines. You could go the Expo (HD's high-end outlet) and spend a lot more. Maybe it would be better, I don't know. I go for function rather than fancy design.
While not always true, the higher end lines tend to have more actual metal in them. The low-end stuff often has plastic parts, thinner castings (which may not include any brass - i.e., they're pot metal), and less durable finishes. This isn't always true. The mid-to-high end lines often are available with vacuum deposited, super hard finishes that are guaranteed not to tarnish, pit, or flake for life.
My experience has been that when customers buy their faucets at Home Depot, even if they are national brands that I would buy from a plumbing wholesaler, they have a much higher chance of getting a defective one, or one with missing parts. Things which seldom, if ever, happen with the trade version of the same faucet.