Was stationed at FE Warren in Cheyenne for 7 years, hunted and roamed around up Happy Jack, and over in the Snowy Range, further over in the Red Desert, and down around Baggs. Ended up in Evanston for another 7 years, and other than a couple of pawn shops there and one decent retail shop in the 'big' grocery store, there wasn't a lot there, either, meaning a trip into Ogden or SLC, or up to Star Valley or into east Idaho.
Gun shops seem to be getting mighty thin in SE Wyoming, more in Rawlins and Rock Springs than there were in Cheyenne or Laramie. Casper didn't seem to have a lot to offer, either. Of course, there's the Wally World offerings....
Depending on which way you're going in, a stop at Cabella's in Sydney, NE is worth the time.
There's some 'revolving' gun shows that come by about quarterly. The best show in the area though is the end of January at the Cheyenne Rifle and Pistol Club indoor range. No jerky, survival gear, fantasy swords, Nazi crap, just a bunch of good ol' boys who spend a lot of time shooting and hunting, moving their gear around.
In Cheyenne, the last of the 'good' gun shops is Frontier Arms, down on Lincolnway, run by a fella named Dick, and his wife and daughter. Decent prices, interesting inventory, gunsmith shop that Dick works in, AND, they have a good selection of new and used long guns and handguns, and will dicker with ya, unlike the big box stores.
There's also "RLY" that deals out of Cheyenne, but memory says he does more business on the show circuit.
Marv's Place, also on Lincolnway, always seems to have a few guns in their pawnshop, but don't pay attention to what's on the sticker. I never, ever paid what they had marked on their stuff, and walked away with some REALLY good bargains. They also have a bottomless pot of the world's nastiest coffee going, but I'd recommend taking your own cup in!
There are a couple of Pawns on the main drag through Laramie, you just have to keep your eyes open, or hit the yellow pages. There used to be quite a few guns for sale at the 66 station on the intersection of I-80 and Snowy Range Road, and a couple blocks west on Snowy Range. Memory says that there were a lot more basement bandits than storefront operations in Laramie, but it's been awhile.....
Get the "Thrifty Nickel", or "Big Nickel", or whatever name they have on the free want ad type paper at every retail store and gas station in the region. I've found more guns and gear in there at garage sale prices than anywhere else. Tons of GI's in Cheyenne, and lots of 'stuff' for sale.
Do a Google search for gun stores or gunsmiths in the towns you are going through. That gives you names, addresses and contact information.
Also, while I'm thinking about it, make arrangements with an FFL in your area that will do transfers, get several signed FFL's from him, that will let you buy something (and you WILL find a treasure or two), and make arrangements at point of purchase for shipping, etc.....