Dude, there's lots. East peoria has Midwest Firearms, owned by Mike. Great shop.
Pekin has Pekin Gun, on derby street. I'd go to either of those, but if you just want ammo or supplies, there's Gander Mountain out by the new mall.
Midwest is great and Pekin Gun is too. Gander Mountain is high priced on their guns and ammo. There's also Presley's in Bartonville and American Firearms just off Pioneer Parkway in Peoria as well. American has an indoor range and will let you rent guns and test fire guns you are interested in buying.