For variety, my first favorite shop is Denny Dennis' sporting goods in Fenton. The store is primarily hunting/fishing oriented, but the gun department has always had an interesting variety to peruse, including quite a few used. Their prices seem reasonable, too.
Second stop is Mid-City arms on St. Charles Rock Rd. near Northwest Plaza. It's pretty nondescript from the outside and can be a bit hard to notice, but it's right next door to Rodao Drive and that is a bit more eye-catching (Rodao Drive is an *ahem* adult-interests store). They deal primarily in collectible arms and have some nice specimens, but they also deal in mainstream stuff. In addition, there is usually an interesting mix on the gun rack in the middle of the store to fondle. Contrary to the previous poster, I've always found the people there to be friendly and helpful. Maybe they were caught on a bad - or busy - day.
I live within a mile of Mid-America on Gravois, but tend to avoid the place. This is my opinion only, but my personal experience is that their prices seemed on the high side and the staff was less than helpful. It's been a while since I visited, though, so things might be different. What has kept me away was that I called once to inquire about transferring a shotgun purchased out of state, and got an earful of griping from the owner about how he can't run his business on $35 transfers (although he chose to be listed on Gunbroker as a transfer FFL). I respected his decision and have not given him any business since.
I haven't visited Mike's guns in St. Charles, but have been to Nassau. I don't know about their political bent, but they've been helpful to me in the past and had a decent selection of arms.