I've been buying Warhammer from Comic Book World for several years now. They don't have a huge stock, but they manage to stock a bit of everything sot hat every time I've been there, they've had what I was looking for. I've heard they also hold games on the big tables in the back, though I've never attended.
They also sell other miniatures, paints, role playing games, collector cards, figures and, of course, loads of comics. If you like any of these things, the odds are that Comic Book World will have something you will like.