See all shopping in Cheyenne Cheyenne for: Adventure, Food And Dining, Art And Culture, Nightlife, Spa, History, First Timers, Family, Romance, Shopping Frontier Mall About Frontier Mall [19] Conveniently located near Cheyenne Regional Airport and anchored by Dillard's, JCPenney, Sears, Sports Authority, a nine-screen movie theatre, and a buffet. Add to Wish List