What do you do about the "I wants"?

My 3 y.o. son is such a lovely boy and we are anything from lenient parents to him. Still, he is constantly talking about all the things he wants (and I'm not referring to world peace here).

When we go to the mall or the supermarket or any commercial establishment, and even when we're at home, he's saying he wants a batman and a robin, a ninja turtle with a green mask, xyz transformer rescuebot, you name it.

He doesn't melt down when he doesn't get something -- I usually tell him that he could ask for that for his birthday/Christmas/whatever, or that he already has a lot of toys, or that maybe this summer we can get something when we go visit grandma, etc...

But it's just so tiring constantly having this conversation, and I don't want him to be that kid who's always "I want"ing all over the place.

Is this just a normal thing at this age? What can I do?