Bottom line is that if you want the best money for your stuff, YOU sell it to a 3rd party. If you sell to the gun shop, then they assume a lot of risk for the item (as it may be stolen) and have to then hold it inventory until cleared by the cops, then have it on the shelf for X amount of time until sold. So you aren't going to get nearly as much value out of the gun. The fact that you have never loaded it sounds great, but it also still counts as a used gun and unless it is rare or special, used but never loaded doesn't make that much difference.
Contrary to what was said, you aren't being 'robbed' is you trade in the gun to the gun shop (or car to the dealer). Being robbed suggests that it is against your will. It isn't as you have to agree to the transaction for it to happen.
If you have the time, inclination, and want the risk, sell the gun yourself as the car dealer mentioned about used cars. Then all you have to worry about over the next few years is whether or not the guy to whom you sold the gun doesn't go on a murderous rampage or leave the gun unsecured so some teenager doesn't take it on a murderous rampage. You will end up with 'some 'spainin' todo, Lucy!' if that happens, lots of hassles, and then hopefully will be cleared of any wrong doing.