After living in the twin cities for 18 months, I have found the following laces to be ideal for 40K (By order of preference):
Tower Games (south Minneapolis, 48th and Nicollet)
Misty Mountain Games (Burnsville off of 5)
Any other place is just wasting your time.
Tower because of the great community, Misty Mountain because of the enormous amount of space they have.
Tons of people from around the entire area are being drawn to Tower games though because of the very well established player base for numerous games.
Don't take my word for it though, check out the local forum:
http://www.adeptusminneapolis.com/forums/index.php?act=idx