I'd go with Cabela's. The nearest one to me is in the Hartford CT area, 2 1/2 hours away. Supposedly, there's one that might go in by the Albany Airport.
Bass Pro? 3 1/2 hours away, in Auburn. There's talk of putting one of those in Wilton, not far from my brother.
Bass Pro is coming somewhere near Stamford CT, supposed to open soon and be right off I95 from what I hear.
The Hartford (East Hartford) Cabela's has a great selection, and their gun room is almost a museum. From what I hear they are a high grossing store and they aren't total out of whack price wise. I'm 10 minutes away and laugh at all the out of state plates in the parking lot every time I go.
About 20 minutes away is Hoffman's, they have a good selection, and a brand new indoor range. I like to keep my business local, and their tag line is "guns for the good guys," which I love.