Anything you'd buy at REI or EMS you can get cheaper at Campmor. Cabelas doesn't carry much for things like climbing gear but are better for clothing/footwear that you might want to wear as casual wear too. Bass Pro Shops are about the same as Cabelas. Both Cabelas and Bass pro have all the clothing you'd ever want for fishing or hunting type activities.
Sierra Trading Post is good as is the Duluth Trading Company.
Two areas that you might wander through in your travels are
Natick Outdoor here in Natick, MA or the
Kittery Trading Post in Kittery, ME. The LL Bean Outlet and Old Town Canoe Outlet (both off of I-95 in ME) could be interesting side trips too.
For military surplus type stuff check out the Sportsman's Guide.