Shawnee isn't a great tourist destination, so its kind of limited, but OKC is close and that expands things a lot.  Main gun shop is BDC Gun Room, south of town in the tribal area, they also have an indoor range, but prices are high in the store and range time is expensive.
https://www.bdcgunroom.com/
New Sports store, Dunhams, not a huge gun dept but not bad for Shawnee, located in Shawnee Mall.
http://www.dunhamssports.com/stores/4901-n-kickapoo-st-shawnee-ok/
Mabee Gerrer Museum of Art on St Gregory's campus, a nice small museum with some interesting stuff, the only Egyptian mummy in OK.
http://www.mgmoa.org/
Oklahoma City--National Cowboy Hall of Fame
http://www.travelok.com/Museums?CMP=PPC_G_HH_OklahomaMuseums&gclid=CjwKEAjwuuy4BRCvs43g9fX9mz4SJACiYydPmQc-q20UosLy-7z8XFtlo3zlDtRsVXE6vzdboozBCRoCrpPw_wcB
One museum in OKC that consistently gets outstanding reviews, everybody just raves about this one, I'm not kidding, some others will jump in here and tell you the same, the Museum of Osteology, I kid you not, people LOVE this place!  A lot of people have visited on our recommendations and they always say the one they enjoyed the most was this one!
http://www.museumofosteology.org/
Discount coupon: http://www.travelok.com/deals-and-coupons/tag.museums