On the far southeastern part of Cinti here's a small airfield called Lunken Airport that has a small store for pilots that carries quite a few Surefire models, and a handful of other stuff. I haven't checked them in a while because they are full MSRP, so I'm not sure what they have now. There's also a nice little restaurant in the same building where you can watch the planes take off and taxi while you eat. Sometimes there is a lot of traffic, other times not much. The field has some interesting connections to aviation history, and the President has been flown into town through Lunken sometimes because it is much easier to control than the large airport.
http://www.cincinnati-oh.gov/transeng/pages/-7207-/
http://www.cincinnati-oh.gov/transeng/pages/-7263-/
There is a knife store called Cecil Clark Knives on Monmouth St. in Newport, KY that has some flashlights but you never know what they will have. I know they can order Streamlight, Pelican, Pentagon, Gerber, Princeton Tec, Inova, Mag, NiteIze, and a few others. You never quite know what they are going to have, and they never have a huge selection and nothing exotic. Their prices are great on a lot ofthings, so-so on others, and high on a few. The are a distibutor too, so if something isn't on the display ask somebody about it. They won't overwhelm you with customer service so don't be shy about asking.
Other than that, there's not much other than what Buckeye mentioned. I'm excited to know about Target World.
There are two outdoors stores, Nature Outfitters in Milford, and Benchmark in Blue Ash. They both carry some decent lights, but nothing to get very excited about IMO.
If I think of anything else I'll add it later.