I'll apologize in advance, since I have a feeling this is going to get rather long-winded;
The thing is though, they aren't. Although they are the number one toy-only retailer in the US, and they do take roughly 20% of the domestic market, Wal-Mart is by far the country's #1 toy retailer. By a large margin, too, since WM is purported to take over 25% of the US toy market. Five percent may not sound like much, but look at it this way; take twenty 'average' kids on the playground with one toy each: of those twenty toys, four of them may have come from TRU, but five of them were bought at WM. Target wants a bigger slice of the toy pie as well, and would really like to get themselves into that #2 slot. Wal-Mart has also put in place plans which they hope will (among other things) kill off their specialty competition (drug stores, TRU, etc.) dubbed "Project Impact":
Wal-Mart really has two things in its favor; variety and volume. By variety, I mean that WM has the whole range of products they sell, so they don't necessarily have to mark up their toys enough to cover their margins (that is, sell the product with a high enough markup to pay for the expenses to buy/ship/stock it as well as other costs and still turn a profit). In fact, WM often will use toys as loss leaders, selling them at or below cost on the assumption (usually correct) that customers will also buy other (marked-up) items so overall the store will make a profit.
As far as volume, since WM sells more, that means that they buy more from the the suppliers, and bigger orders means bigger discounts. Since they can buy items at lower cost, that means they can apply a larger markup to make the difference between cost and MSRP. Even if the difference is as little as a single cent, if WM sells 100,000 of that item, they make $1,000 more than the other guy.
TRU, on the other hand, has only their toys on which to make enough to cover all of their operating costs and profits, hence the higher prices. Also, TRU has chosen to place emphasis on variety rather than price, so they're hoping that while customers are there getting something that is only they carry, customers will pay a little more to get other more common items at the same time. It also seems that TRU is hoping for higher returns on licensed Lego, since, for example 7195 Ambush in Cairo is priced at $14.99 but the plain old 8401 City Minifigure Collection is only $11.99. Compared to S@H, the City set is $2 more, where the Indy set is $4 more. But the Indy sets will likely sell more units since they are from a licensed property and can sell on name over value.
I'm not necessarily defending TRU's pricing, but I thought it was worth pointing out that their pricing is a result of TRU having an inherently different business model than their big chain competition (WM, Target, etc.).
tl;dr: TRU charges more because they have to make more profit per toy.
Well, you can't actually just buy the brick. If you look, (link), the page lacks the 'add to cart' button. If you check the box to 'add the additional item' with nothing in your cart, you still have an empty cart until you add some other Lego.
It's a 'get something for nothing' value that TRU gave it. Besides, if you think five bucks is bad for a Duplo brick, don't follow this link.
Well, as I said above, TRU has to charge a bit more due to the nature of their business model. And remember, we're fortunate enough to be part of Lego's largest volume market, so we get pretty much the lowest prices across the board. People in lots of other countries would love to be able to get their Lego at even TRU's 'high' prices. It's all relative.
Yep, I was right. Looong-winded.