two places in new albany, depending on how you like it...
new albany shooting range: excellent indoor range, plenty of eye-candy. deal in a lot of pricy 1911s, DSAs, ar15s, etc.
champion's: primarily a mail order/internet supplier for NRA high power and olympic competition. most of the firearms will be the anschutz variety, but they have a nice store with plenty of reloading supplies and lots of stuff like range carts, shooting stools, jackets etc for competitions.
up until 2 years ago, i lived across the road from champions. put a lot of rounds downrange at nasr. both were excellent places.
that's on the extreme NE suburb. if you're going tobe on the NW side of town, check out the powder room.