Seeing as I manage one (Housatonic River Outfitters), I'm too biased to give you an answer about the local fly shops, so I'll tell you my favortie one out West: George Anderson's Yellowstone Angler. Great shop, perfect layout, great product selection, knowledgeable staff. They have what you need, all the best stuff, and none of the BS. And it's in Livingston, right by the Yellowstone and near a bunch of other great fisheries!