PirateRadio,
What is it exactly you are trying to find? Just another place to look at guns? Or is there something more specific you are searching for at Wal-Mart?
If you're trying to find somewhere in IL not too far away just to look at guns, try Cabelas (somewhere up by Chicago I can't quite remember), or go to Plainfield and try Megasports on Rt30 I believe it is, which has a lot of guns and probably the best selection around that I know. While you're there, about 2 miles east down the road is Gander Mountain as well, right next to the 55N entrance ramp. I'm further southwest, so these are the little drives that I know of. But I'm sure if you search the net, there are probably quite a few more gunshops in the general area. I usually just go to these places to look, then jump on Gunbroker and find it at a good price to buy.