Jason,
I live in the South of France and don't know Calais very well... but in general there are some price advantages, especially with French or continental brands.
I can give more specific examples if I had an idea of what kind of stuff you might want; camping, climbing, clothing etc. Obviously it's best to check online in the UK beforehand to get a feel for what you would pay.
The £ to Euro rate is pretty poor right now, but there's still probably 15-20 percent to be gained on Petzl - e-lites are usually 22.90 Euros, harnesses are almost 1 euro per £ (a £60 harness would cost you around 60 Euros). My personal pick goes to the Beal Aero Classic harness which is a cunningly designed fully adjustable sit harness for around the 45 Euro mark.
Look out for Millet kit. It's french designed and they make some reliably tough approach shoes, GoreTex and Softshell kit. Think Berghaus before they started to diversify into the dog-walking & city-loitering market. Their rucksacks aren't bad either - but there are better options from Lightwave and Osprey in the same class. US imported brands will be at least as expensive as in the UK, so I wouldn't bother. Aigle, Lafuma and Eider all make nicely styled stuff for more general use but I would put my money with Millet if I was wanting serious gear.
A word of warning : French outdoor specialist brands cater mainly to french outdoor users - slim built and fast moving. And don't forget how hard it would be to return/replace/repair an item if it isn't what you wanted.
Camping products are often good value as there are lots of happy campers in France. Beware what you try to get home, but camping fuels are often cheaper. Tents from Vaude and Ferrino seem to offer good value for money over here. Top brands (like Hilleberg & Helsport) are probably more expensive here than in the UK and you won't find them in the general sports shops as the French climber prepared to spend money on kit is hard to find outside of the mountain hubs of Chamonix etc.
In Calais you'll probably have the usual choice of 'grands surfaces' - Intersport, Decathlon and Sport2000 for example. Take a look at their websites before you come as the prices in-store are standardised.
Anyway, best advice is to be harsh on yourself - don't buy it unless you are absolutely sure it's what you want and that it is significantly cheaper than from a UK supplier (or is unavailable in the UK - like the Beal harnesses).
John