The Victorinox Store at Westfarms mall in West Hartford has the best selection of higher end brands, including a lot of slightly older rarities, msrp prices on a lot of stuff.
I'm right down the road from Cabelas and they definitely do have a pretty good selection, but expect to pay msrp on most things.
Hoffmans has a few too (like error said, Cabelas has alot more)
The surplus store on the Berlin Turnpike near Hoffman's actually has a much better selection than Hoffman's does, including some popular spydies and Benchmades at not bad prices.
I think there is a store with good selection in Mystic somewhere too, but I've only heard rumors never been.