Beer should be chilled to the proper serving temperature, which may vary according to ingredients and brewing methods, and even most of those are not set in stone, but can also vary according to taste.
Guinness, for example, has a specific serving temperature related to how it was traditionally stored in Ireland (Kegs in the "cold" room, which was often just a room carved out of the hill behind the pub or similar).
As far a why grocery and convenience stores keep it chilled, it's basically appealing to the "grab and go" drinker, who intends on consuming it in the very near future, or with a short transport. Often they are slightly higher price than if you were to go to a liquor store.
Liquor stores have much larger selection and inventory, and refrigerating everything would be cost prohibitive. The price is generally slightly less than the grab and go locations, although many liqour stores still keep some of the more popular and mainstream beers in the cooler as well.
For most commercially available beers, you can cool, warm and recool several times with minimal to no changes to taste. Some craft and/or home brews may be affected more by this process, but I don't know if there is any kind of a list available.