If you aren't a local, the best place to get information for Wounded Knee and other parts of the reservation are at Pinky's Store which many people pass coming from the north. The proprietor, Pinky, has a heart of gold and will patiently explain local customs and places. Otherwise, you will feels pretty lost on this vast reservation.
Pros: Great place to get acquainted
Cons: It is small, you won't find everything