Dolphin Rifle Company at Donington on Bain about 35 mins but check website for opening times more a specialist rifle manufacturer than a shop but worth a visit.
Grainsby Gun Room between Grainsby and Tetney about 15 mins, new shop just opened a couple of months but just getting started.
Derek Lee Gunsmith Toft Hill near Horncastle about 40 mins good selection of guns and equip.
Forest Lodge as already mentioned.
Southerton Guns at Habrough near immingham about 20 mins, i've never been so can't comment
Lincolnshire Shooting Centre near Skegness about 50 mins, never been so can't comment