Vienna has a quite vibrant wargame scene. There are several stores and
GW outlets. I personally liked the Damage-Unlimited (.com) quite a lot, but that was 6 years ago. They still seem to be quite active though with an attached gaming room. The store is still there and looks quite much like back then when I was there in early january.
There is a gamingclub, too:
http://www.tabletopgames.org/wien.html
There is an annual gamingconvention,too.
Google a bit and you should find enough opportunities to indulge yourself in.