Are you in Minneapolis proper, or a surrounding suburb? Nikolakhs just hit the tip of the iceberg as far as gaming stores go in the twin cities area.
The Source (
http://www.sourcecomicsandgames.com/)and Fantasy Flight Games (
http://www.fantasyflightgames.com/edge_npm.asp?eidm=13) would be the closest to Minneapolis proper. The Source is great for all things comics, board games, and table top games, truly a great
FLGS. Fantasy Flight is also a great place to game, and be introduced to the local game company and their products.
If you're looking for a good place to start looking, check out the Store Finder button in the header here, and click on Minnesota. About the only game store I can see missing from that list is Dreamers Games, and that is located in
St. Louis Park.
I tend to frequent Village Games, mostly because it's the closest to me, and they have a good selection of products outside of the
GW lineup. Their staff is friendly and helpful, and they tend to have a good group of people to play
40k with.
Also, you'll find that most places around here tend to have
40k night on thursdays, just as a heads up if you can't find someone to play against on any given day.