Yeah to be honest there's not many local places around and the ones that are don't have anything more unusual than most EBs/Gamestops. Here's a couple though:

Fun Station on 82nd St
Game World on 82nd St
McVan's in Fishers
And there used to be someplace called House of Games or something over on Washington St.

I know McVan's is probably still there, but I haven't been to any of the others in at least a year so not too sure about them.