Pretty much any shop here will be overpriced for almost everything.
Tex-guns is good for some of the rarer ammunition. I was able to find plentiful nice brass-cased boxer-primed 7.5 Swiss rounds there for about what you'd pay for wolf gold on cheaperthandirt.com.
Cost Plus 10% is a local shop (even smaller than Tex-guns) that will usually have what I need in a pinch. He's got a small selection of handguns (from what I could see), but be prepared to stand a while until he finishes his conversation/story with whoever is hanging out talking to him that day.
The extent of my dealings with McBride's has been holster-buying, since they're pretty much the only place in town that has a good selection as far as I'm aware (I needed one for my FEG PA63, and they had a bianchi that fits it perfectly). Their markup is pretty ridiculous. They capitalize on being the only gun shop in town in a very visible location, therefore the only shop a new buyer knows about. Granted, no one else has the inventory that they do, but that's what the internets are for.
All of the others mentioned previously I know enough about not to waste my time going there. The exception is the aforementioned Action Pawn, which I've only heard great things about, as perdurabo93 detailed.
If I need to buy ammo in large amounts, I'll make a drive out to Brenham and buy from the guys at
ammunitiontogo.com and save on shipping. Plus, it's a nice drive, and there's Blue Bell made locally! They operate out of a large detached garage and a storage shed or two (they deal almost completely in internet sales, but welcome walk-ins) out there, and have always been great to deal with.