Cabela's stores themselves are worth the visit. My local one (Hammond, Indiana) has large aquariums and museum quality taxidermy on display.
If you live in the Chicago area, I recommend going to the Hammond In. store over their Hoffman Estates Il. location, (as its less then 3 miles from the state border), as the gun selection is much more limited in the people's republic of Illinois' due to gun "control" (I think there have been times they have considered closing the Hoffman Estates location). Another bonus, the sales tax is much lower in Hammond too.