Cheese shops in western suburbs
To the best of my knowledge, there are NO remaining stand-alone cheese shops in the Twin Cities metro. There was a period of a few years in the last decade where a handful of entrepreneurs made a go at running cheese shops, but they all folded by the end of the decade.
There are a few wine/liquor stores that have cheese shops attached -- Surdyk's is the granddaddy of this genre, and add relative newcomers France 44 (and its sister shop in St. Paul) and the one on Lake Street near Uptown.
Other gourmet food purveyors, including some bakeries like Turtle Bread, also stock a selection of cheeses. And the major gourmet grocers -- Kowalski's, Lund's/Byerly's, Whole Foods -- as well as the co-ops will also have cheese selections.
In the western suburbs, your best bets are probably the Whole Foods and Byerly's in St. Louis Park. There may be some smaller gourmet shops in towns further west, but I'm not as familiar with them.