As far as guns, I have bought several from gunsmiths or from FFL's out of state. They give great deals and you pay NO TAX. Some out of state FFL's I've heard of through other sources, or word of mouth. Below are dealers who will ship from out of state, but you HAVE TO HAVE AN FFL HOLDER FOR THEM TO SHIP TO.
Here are a couple more websites to look at depending on what you want...
http://www.gandrtactical.com/cgi-bin...i?display=home
http://www.bravocompanyusa.com/
http://www.k-var.com/shop/home.php?cat=
There are buttloads more, but that is just a few.
For ammo, I use these guys alot...
http://www.ammunitiontogo.com/
http://store.tjconevera.com/index.html
http://georgia-arms.com/index.aspx
http://www.ammoengine.com/
Again, this is just a few of whats out there. The more you dig, the better chance you have of really saving some money and not having to hassle with gunshows and retailers.