Eventhough I don't live in the states I never ever shop at JC pennies or gap...and macys isn't really considered a stylish store since it has both fashion and crap. My favourite 'stylish' brands are calvin klein, DKNY, levi's, ralph lauren and tommy hilfiger.
You should orientate on what kind of brands are fashionable. What kind of clothes the cool and/or famous guys wear and what suits your personality best. As for the 'thin' clothes, there are enough slimfit shirts these days you just need to try some on.
And if your budget isn't big, get your clothes at outlets

Levi's usually has some cool clothes for a good price and they're pretty tight.
The bad thing about the states is that the clothes are cut large so the 'big' (fat) people can wear them also, so next time you try a shirt, try a smaller size. Ex. go from L to M or even S.