Outdoor Emporium is just south of the ball field (on 4th Ave. I believe). They don't always have the best prices but they have a decent selection. Next to that you'd have to look north or south of downtown Seattle to find a decent sized store.
I shop at Wholesale Sports in Federal Way quite a bit. Decent prices and a great selection of firearms and reloading supplies. Federal Way Discount is another gun shop down that way.
Out in Enumclaw there is a store called Tuttle's Gun shop. The prices are not great but they have a huge selection of new and used firearms and I stop in just to check out the antique rifles for fun, it's like a museum.
If I was coming down from the great white north though, I'd make it a point to stop at Kesselrings in Burlington..
4024 Old Highway 99 North Rd
Burlington, WA 98233-8571