Go down to Gatlinburg and check out the Ole Smokey Mountain Moonshine Distillery. In Pigeon Forge, the Old Mill Village. +1 on the Smokey Mountain Knife works. You'll pass it on the way down if you come in from I-40. It'll be on your right side. Make sure to make time to stop on your way in because it's a little ways yet into Pigeon Forge once you pass it, so you'd have to drive all the way back up to it later if you don't stop on the way in.
I go there VERY often, and am working on relocating there for the rest of my retirement years. For dinner you have to go to Calhoun's Restraunt, which was voted "Best Ribs in America", and is a Tennessee icon. Other folks have already mentioned the Smoky Mtn. Knife Works, but I wanted to point out that they also have classes on knife making and you can actually craft a knife there yourself. If your looking for a place to stay try Eagles Ridge Resort, they have great cabins and reasonable rates. You can also bike across the mountain to Cherokee and watch some of the demonstrations of Native American weapons they often put on. There are some ranges there, and here are a few links:
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