You really need to narrow down what you are shopping for. Unless you are talking about true corporate stores, a single retail chain is limited to what they can stock in inventory so, each store tends to specialize in the high volume things that sell well in their local market.
For Class 3 items, some of which your state prevents you from owning, I have found reputable on-line dealers the way to go. Of course you need a local SOT (dealer) to do the actual transfer to you. The one exception I have found is that silencers seem to be pretty well supported by local dealers where I live.
Around where I live, "black" rifles seem to sell poorly so, I use on-line sources and send them to a local dealer. Pawn shops often do local transfers pretty cheap.
For common main stream pump shotguns and bolt action rifles, your major sporting goods chain stores will have the best prices in general and they carry good iventory so you can walk in, fill out the paperwork, and leave with your new rifle or shotgun.
Handguns tend to be a crapshoot unless I want an old cowboy six shooter around here. Glocks, HKs, and other similar high dollar autoloaders are something I will probably either have to drive a ~100 miles to see or I will have to order one from a local dealer. Factory websites are good for finding the right model on-line.
Buying used?
http://www.sturmgewehr.com/webBBS/semi4sale.cgi
I also look around on the GunBroker website.
Around where I live, newspapers WILL NOT let you advertise firearms so, finding a used one in the paper is impossible. I guess they want you to sell out of your car trunk downtown on a street corner ...
