Oh, I forgot.
There's a Bass Pro Shop and a Cabela's in the OKC area (Bass Pro is near the I-35/I-40 interchange in the Historic Brickyard section of OKC (a nice place to visit on it's own accord)
Cabela's is in the Edmond/NW OKC area. Both have the typical large selection of fly fishing gear and flies, etc. Bass Pro also usually has pretty good info posted in the fly fishing area and has had good people there to talk to about where fishing is good - every time I've been there at least.

There's also a Bass Pro in Tulsa- both Tulsa and OKC are not that far from Stillwater.

I am not aware of any other fly shops. There is an "Orvis Authorized retailer in Tulsa but I haven't been to it. Not sure if there's anything Fly Shop specific in OKC.
JD