I've sold punk zines through consignment in San Francisco, and in a few other cities.
It's a lot of work. You have to get the zine/book approved, fill out the agreement/form, drop off or mail in stock, check in with the person who handles consignment to see when your stuff has sold, and then remind them to pay you. Oftentimes you're considered very low priority, and you've got to struggle with people that aren't very motivated to work with you.
I still sell one zine on consignment at one shop, though now I live out of state and have to mail in more copies every few months. Profits are slim. Still, in the past five years I've sold about 3000 copies of the zine. It's what got me started in self-publishing, which is how I now earn my living. So I don't regret it.
I've also had a few of my books on consignment in shops--which is basically a similar process, though many independent shops won't carry Createspace printed books because it's an Amazon company (and some indie shops consider Amazon the evil competition).
In my experience, ebooks are really so much easier.