Bought a copy at Best Buy yesterday and it had the code in the game case.
It's just a chance thing. If you didn't get the code, you didn't get it.
I've also noticed on websites like Walmart's and Target's that they list "Alan Wake" for $30, and "Alan Wake With Code" or "Alan Wake With Token" for $40. I got the $30 one from Best Buy and it had the code, but I guess if you want a sure thing you could get the $40 one; I don't know any other reason why they would list the one with the code separately.
Xbox LiVE Gamertag: Snaffle J Bean America's disgruntled, short, fat gamer since 1996