NC taxes your retirement. Just a thought.
Morehead City is a beautiful area. It's close to the beach, so summers will undoubtedly bring tourons, but it's still a fantastic area.
There are spots in the Triangle area that are nice. My parents live in Rolesville; outside of the huge new neighborhood developments it's nice. Wake County has high property taxes though.
If you want to be close to shopping/big stores/stuff like that, your choices are really Raleigh, Greensboro or Charlotte. If you're used to being close to sports, concerts, big malls, that kind of thing, those are your choices.
If your priority is shooting, head outside the metropolitan areas and buy enough land to build your own range. There are plenty of out of the way spots where you can buy 20 acres for the same price as 1/4 acre near the city. The price you pay will be distance from the kind of city amenities you're probably used to from Chicago.