Closest retro store I know of is one in Stockholm called
Super Motaro. It used to just be your normal web shop, although they also had auctions out on Tradera, the swedish (and not as good) equivalent of eBay. Sometimes they'd show up on cons and the like as well, selling stuff.
Now they have a real little store with some sit down arcade cabinets thrown in the back for good measure. Prices are pretty decent - or rather, some things can be had for really cheap (memory cards, controllers etc) while other go for more, usually systems. There's a little bit of everything, even som PCE/TG16. It's just a bit troublesome getting there...