There doesn't seem to be any retro game shops near me (Roswell GA) .Damn
Though.. kind of near my work is a Play N' Trade.
Damn, it's a real shame US Gaming Arena in Roswell shut down a couple years back. That was such a nice place--a nice retro/import selection from what I recall, tons of gaming PCs, giant projector screen, Smash/SC/whatever tournaments all the time, a bar. I always loved browsing through what they had when I made it out there for their Smash tournaments. Prior to that there was Waba Game, which I think actually became USGA. The Atlanta area is bound to have a few here and there, but I realize it's massive and traffic is a pain.
Birmingham, AL is pretty bad for retro game hunting. One antique store (What's on 2nd) is probably the best place to check since they seem to get new stuff in pretty regularly; prices range from good to about what you'd find on ebay. Specialized retro game stores in the suburbs are always picked over or way overpriced. Thrift stores are always picked over or more likely never getting anything in. Yard sales never have any games at all. Craigslist is full of people who want ebay prices without dealing with it. I'm sure it's like this everywhere, though.