I personally bought my Sig at Mike's, and I've done some shopping at the Jay's in p-cola. Service-wise, it depends who you talk to. I know of at least one guy at either place who is a total dick, and at least one other who is generally friendly. Both places are a bit pricey, but they have the occasional good deal.
My DI at OCS recommended Buck & Bass, it's on Pine Forest a bit south of Blue angel. They're very friendly up there, and while their selection is rather limited, they will order anything for you. Additionally, they handle all the transfers from Styx River shooting center, which is in Alabama just off I-10. Takes me about a half hour to get there from my place in pcola. Styx river, while a bit of a drive, has a decent range, and a very nice selection of weapons. Prices and service aren't bad either. I picked up my AR over there. Longguns are no problem, but i think the fee was $45 to transfer the handgun to Buck & bass for delivery. You'd have to double check, but I remember something about no sales tax for out-of-state purchase, so the transfer fee would even out.
Another place that I haven't shopped at myself, but have heard good things about, is academy sports, on N Davis highway. Supposed to have decent prices and selection.