+1 on Whittakers. Its a little drive from Lousiville but Ive bought several guns there at great prices. Prices aren't as good as a few years ago before they remodeled and built their new building but still worth the hour drive for me every time I've gone.
Quest Outdoors in Louisville has a huge selection of outdoor gear from rock climbing, backpacking, kayaks, and clothing if that's up your alley.
If you Google stuff, Clarksville and New Albany Indiana are just across the river and easy drives. Bass Pro and Cabelas are there. Walk aroind downtown New Albany. Several small shops worth looking at (more stuff for wives). Olivet has unique olive oils which I've made the run to just for that.