I'll second Collector's Firearms in Houston. Nice selection, lots of books and historical stuff. Prices are high but they will negotiate and, if you know the true value of things, you'll generally get it for a fair price.
I'll also second Whittaker's in Owensboro, KY. Great place and it is HARD to beat the prices anywhere. Great selection. Don't think that you'll do any trading worthwhile, though. The owner is a bear on trades. The price you pay plus tax on anything there is generally going to beat or equal anything anywhere. Good prices OTD on used guns, too. While on the grumpy-seeming side at times, customer service is great.
In Houston, I'd have to add Tomball Pawn in Tomball, TX. Great selection but it's best feature is really for locals. The owner prices guns so that they turn quickly so not only do you get good deals but there is a lot of turnaround there. Really miss living there.
Arego's in Hot Springs, AR is another that I'll second. Nice higher-end selection. Great to see someone carrying things that you normally only see online.
Basin Sports in Vernal, UT is good. Say "hello" to MadOgre if he's there. He's got a good blog, too.
Chuck's Gun & Pawn in Warner Robins, GA is another that has a great selection and good prices.
The Outpost Armory in Christiana, TN (outside of Nashville) is another good one. Eat BBQ on one side of the place, shop for guns on the other. Classy set-up. Prices are high and TN sales tax just adds to it but they have a great selection and some higher-end stuff that you don't see everywhere.
Keene's Depot in Bardstown, KY is a nice place. Up-and-coming, they really strive for good customer service and they have a great selection. Sometimes some higher-end stuff there, too, that you just don't commonly see.
Trent's in Jonesboro, AR has a more limited selection than some of these others but good prices and it's really a good place if you're local to it.
Also in Jonesboro, AR is Al's Lock & Key. Not a huge selection but, again, if you're local you get the advantage of good prices and a constant turnover in used stuff.