Well, the Sac area is big. So I will just tell you about the shops in Sac.
The two stores that I would check out would be Old Sacramento Armory and River City Gun Exchange. In my opinion, River City has more guns, but both of them are over priced.
If you want to take a short drive up 80 to Watt Ave, you can stop by Great Guns. Nice store, okay prices, and lots of accessories.
As for ranges, you are pretty much out of luck in Sac proper unless you are into 22lr bull's eye stuff. One of the ranges I go to are Cordova shooting center east of Sac in Rancho Cordova. It is an old out door range with pretty heavy restrictions, such as you have to shoot rifles from the bench, no prone or standing, one shot per second, no holsters, etc... The office has a small store, and they used to rent, but they dropped their handgun rentals and only rent their four rifles out on the weekend. Oh yeah, and they have trap and skeet too.
The second range I go to is in Elk Grove. The Gun Room has a huge store and a really really nice indoor range. They do rent handguns. Rifles are limited to 22lr (I think), but shotguns are okay. Their gun prices are a little high, and their ammo is pretty outrageous for some of it, yet they have the best price on 9x18 around, go figure. You will have to buy ammo from them if you rent.