Russels Sports in Star Prairie is a decent shop with a true mix of everything last time I was there. They also sell kayaks and bikes, and really are a decent small town gun shop, and are pretty knowledgable. Stay away from the Outpost outside of Hudson, if they're still in business. Overpriced, and the service needs lots of work. Born and raised in RF, so I know the area pretty well, and as to activities it really depends on your interests. Most use it as a springboard to the Twin Cities metro area. If you like caves, Crystal Cave is a small tourist attraction about 30 min away in Spring Valley WI. Fishing, well, you need to do the Kinnikinnic (Kinni) or the Rush River's for trout. Hell, if you like hiking, the Kinni is an incredible experience, and the Kinnikinnic State Park where it empties into the St Croix might be a possibility. Geocaching has got LOTS of potential in the area, as there are tons of them around everywhere you look or drive. Wed ad Thurs nights have the trap league at the local mebership Sportsman's Club if you're up for trap.
Again, it really depends on exactly what your interests are to figure out what direction to turn you towards.