Although Sephora is my favorite cosmetic/fragrance/skin care store, Ulta is a close second.
They give out really good coupons (although be advised that these coupons can't be used on any premium cosmetics- that means anything name brand) and they have tons of different brands to choose from. You'll find everything from cheap Cover Girl makeup to nice cosmetic lines like Bare Escentuals and Too Faced.
They also sell great hair products, hair styling products, skin care items, perfume, lotions and much, much more.
It's a great store, check it out!