P&D is great: high end equipment, great brass and bullet selection. Competitive prices. Amazing staff.
Milarm: reloading is nonexistent except for some bulk handgun bullets. Close to P&D, worth a look, surplus section is great for odds and ends.
Phoenix: lots of brass (prices ok for retail), decent powder selection (they have a list by the entrance).
Cabelas: very little equipment, good prices on components, they almost always have lots of powder and primers in stock. Get a gun counter ticket before you start browsing, it can be crazy on weekends. Prepare to be there for 2 hours, cause its awesome.
Wholesale: South store is better, great selection of equipment (only place that stocks lee), great prices, staff can be hit or miss.
If your into tacticool and your going to Phoenix, check out Checkpoint Charlie (clothing) on 50th St. And ~60th ave.
Also worth a look on the west end is Kolfjager Militaria (clothing and surplus) on 156th St just north of Stony Plain Rd.
Hope that helps,
Jonny