I've fed mealworms and crickets live before, but never mice, and I probably could do it if it wasn't my snake (like if I was pet-sitting or just helping someone out), but if I ever had a pet snake, I would do what Ly said, look into alternatives such as the frozen mice without chemicals. Catching a wild mouse would first of all be an unreliable way for many people to get a steady food source for the snake, and the wild mouse could have parasites. If you get a commercially available frozen mouse, then it's free from parasites, and its not a live animal that a pet shop is selling even if you do buy it from a pet shop's freezer.
But as Ly said, it's still that the pet shop is selling live animals, so it gives the impression that its still ok for them to do so, and for people to buy live animals from them.
They sell all sorts of frozen, chemical free prey animals like that (NOT
cavies fyi) for pet ferrets to eat if you use that alternative diet plan for your ferret. More than just mice, they have rats, chicks, frogs, etc....I have the Ferrets for Dummies book, thats where I first learned about it. Really gross, but waaay better than subjecting a live animal to a ferret or snake or whatever else.