Waukesha, Fletcher Arms
Racine, Shooter's Sports Center
West Milwaukee, Shooter's Shop (one employee is a member here, but the owner is regularly on the news speaking against OC)
Only place to avoid is Badger Guns (Badger Outdoors, whatever they're calling themselves now). They're the closest to Milwaukee, just south of the baseball stadium.
Outdoors, there are several clubs in the area, most of which aren't taking new members.