Been a while since I studied this in law school, but under due process claus of the US Constitution, the company has to have sufficient contact with your state to submit to jurisdiction. I don't know what the current law on this is, but don't assume that selling in your state via mail order is enough. Clearly having a store would be, IF it's the same corporate entity, but you've got the issue of different companies, subsidiaries and the like.
Then, assuming they have submitted to your states' jurisdiction, the next question is venue. Venue will probably depend on the type of case. In Missouri, for example, if it's a contract issue, like a warranty claim, that will be where the defendant resides. With corporate defendants, you look at registered agents, principle places of business, etc. It's not likely to be where you live. If it's a tort, like fraud, it might be where the claim arose, which might be where you live.
Once you get a judgment in your home state, you've got to register it in the state where the assets are. You'll probably need an attorney for that. Once it's registered, you'd have to levy on their property, again which will probably require an attorney. Unfortunately, the property (including realestate, equipment and inventory) is probably already pledged to a finance company or bank to secure loans, which will make it untouchable by your judgment.
You may be able to generate enough bad press to shame them into paying if you sue, but otherwise, I'd say it's a lost cause.
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