Depends on how close "close to St Louis" is. I mostly play in a friend's basement because I keep hours that don't align well with the game stores, but I can make a few recommendations.
Edwardsville has Heroic Adventures, which used to have a decent 40k scene, though I've not been there in a while.
St Charles, MO is maybe a half hour from Edwardsville and has the Fantasy Shop which has a pretty good scene too from what I recall.
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