Two I like a lot are the Dundee Dell in Omaha--an absolutely huge collection of Scotch, and they sell it by the bottle. For a pretty reasonable price, too. I head there quite a bit if I here about a new scotch and want to sample it before I lay out the cash to special order a case for myself.
Another good one, on the west coast, is Branch, in Portland. It's a little tucked away in the north part of town--in the not quite ghetto, not quite hippie neighborhood, but they have a great selection of bourbons. They do flights, which are a great way to try a lot of different whiskeys you've never had, and all of the bartenders I've talked to there know bourbon.