The gun store, in my opinion isn't very impressive. They have a decent selection but it just seems old and crummy in there. Battlefield is by far the best for shooting.
If it's a standard gun store your looking for. As far as selection I would say Lock N Load and Freedom Firearms are the best. If you go to Battlefield, Discount Firearms has a pretty good selection and they are just a block or two away.
Gun shop with the best reputation in town is New Frontier Armory. However they are pretty far north in the valley, and my personal experience is their walls seem pretty bare. Yes they have guns there, but I feel like the inventory on the walls of the three stores listed above is always at least double the selection at New Frontier. Maybe it's because everyone loves them and they sell the most. I don't know, but I've always been disappointed in how few guns I see when I go.
If ammo is what you seek, you will want to go to Ventura Munitions. They are about 1 mile west of Mandalay Bay.