Okay.. because nobody else apparantly has any shops to list, I've done some digging to come up with a few:
Trash and Vaudeville - 4 St Mark's Place NYC, NY - perhaps for the more punk lolita, although it seems they've got nice shoes, more of a goth-y store but I've heard they've got some good things
Anime Jungle - 319 East 2nd Street #103 Los Angeles, CA - They've got an online shop as well, and a Gothic Lolita, Cosplay section which has got quite a bit of stuff ^^ (some, again more punk lolita)
Baby, The Stars Shine Bright - 72. Avenue Ledru Rollin 75012 Paris, France - for European or traveling lolitas, of course
H&M - Use the store locator on the site!
www.hm.com - not a real lolita store, but if you look around you may find something loliable!