A bit out of the way, but Carter's Shooting Supply in Harrison, off HWY 58 (Chattanooga area).
All In Chattanooga Area:
I've actually had a pretty foul experience with the guy who runs this. Aside from that, they've got a decent indoor range (25 yards?), and fair prices on
most guns. I just won't buy anything more from him.
Another place would be Sportsmans Wharehouse. GREAT prices compared to most other places. They don't sell used guns (i.e. mil surps) but they've got a decent selection newer guns.
There's a place down in Ringgold, Georgia, called Georgia Gun Trader. I stopped in shortly to check on some ammo so I didn't get a look at his prices.
There's also a small place in the Red Bank/Hixson area. It's very close to Northgate Mall if you're familiar or are passing through that area. His prices didn't seem to be too great but he's gotten an indoor range for handguns (you have to be 21 though).
Darr's used to be a place 5 min from my old house in red Bank but sadly he retired so there's no more gunshop there. He was a little overpriced but I enjoyed doing business with him and his staff.
Edit: There's also a place a little east of Chattanooga in Benton called Benton Shooter's (Shooting?) Supply. Never been to it but it seems like a nice place.
Looking at google maps there seems to be around 10 gun shops close to the Chattanooga area. I'm only writing about the ones I've had experiences with (and Benton Shooters Supply).