Do they give the pallets away or are they reused? And if they're reused, therefore, "retrieving" a few pallets would be stealing. I'm sure you're not condoning I steal them, so I'm definitely missing something. I just wouldn't fathom building a stable from stolen goods for the Baby Jesus & Holy Family.
It depends on the store. You may get a few for free or you may have to pay a few bucks....or they may say no. Some shippers own the pallets and the stores are expected to return empties.
You really should just go ask the store manager if you can have 3 pallets instead of driving up to the back door and assuming it's okay because they are sitting there and some stock boy says it's okay.
Go to any store/supermarket that has it's stock trucked in and you should be able to find some pallets. Try the local dump, too.
Good Luck
BTW: Try Home Depot or Lowes or OSH, too