Bass Pro (downtown): Don't bother. Nothing fun. It's a local .gov-sponsored big box store that ruined more than its fair share of local businesses, anyhow. Most I've ever used it for is cheap parking for Bricktown.
Sportsman's Warehouse (north OKC): It's okay. Decent selection of handguns and ammo; rifles, optics, and shotguns are standard, run-of-the-mill.
Outdoor America (Macarthur blvd., just south of NW 23rd): On its way out. 30min. wait before someone can help, and unless it's a really big guy with long hair or a wiry young kid, don't expect enthusiastic help. Decent selection of shotguns, very few autos, decent selection of revolvers. Prices are decent. A lot of Benchmade and Cold Steel knives, and a couple unusual guns in their used case. Class III dealer. (former employee)
Brigadoon Military Surplus (Del City): Scant selection, but that's because they sell a lot, and often--one of those places you have to check on every week because they'll get in 10 of something off-the-wall, and sell out almost as fast. Good place for ammo and milsurp equipment. Almost like a franchise for CheaperThanDirt.com. Service is a little faster than OA. Lotsa cheap knives, lotsa bayonets, lotsa common mags, good prices on all. Can sell used, but since it's a business, don't expect much. Class III dealer and manufacturer. (former employee)
CJ (or something) Guns (short ways south of SNU): Poor selection and overpriced usually. Can find a gem sometimes.
Big Boys Guns and Ammo (way south on Council): Overpriced junk. Sell everything at or above MSRP/ Blue Book. Might find something unusual, though.
Outdoor Outfitters (Portland and NW 39th): Small selection and friendly staff. Only been there once, so I can't really say much more.
Mustang Pawn and Gun (Mustang, Hwy 152 and Czech Hall):
THE place for used guns. If there's an old Winchester 1300 with a 26" barrel you wished you had, or a lever-action Savage in .308, chances are they might have it. A lot of interesting stuff, like Bushmaster Bullpup pistols, NIB Colt DA revolvers, and so on. It's where I would go if I were looking for an old single-shot .22 or shotgun for under $100.
Hope this helps some. Let me know if there're more questions regarding any of them.