I can understand Penney's or Dayton's since those were people who founded eponymous stores. I suppose we have our answer -- people established a habit of the "S" when that type of naming was so common, and extended it instinctively to all stores even though there was never a Mr. Kmart or a Mr. Circuit City.

Fun tangent: I learned pretty recently that the southern California grocery chain is named after a man with the last name "Ralphs," so it never had an apostrophe and indeed shouldn't have one (in any language).