I was just in Bloomington yesterday. For actual cold gear and stuff like that, your best bet is probably Dick's Sporting Goods. Its on the north side of Veterans Parkway over by I-55. I just stopped by a bow/gun/hunting shop called Smiley's to pick up some (somewhat local, Eureka, IL) deer farm Doe Urine. He carries TONS of hunting stuff, but I do not know about actual clothes or cold gear. It is located near Veterans Parkway on Ireland Grove road a couple blocks south of State Farm.

I used to live down in Bloomington/Normal, so if you have any questions, feel free to ask.