I travelled through Dubai almost every 6 weeks for the best part of 5 years and never found anywhere! The duty free at the airport has some Nikon gear - usually a fair range of bodies and lenses. No u/w gear though. Prices are on the high side though I would say - unless you are there around the time of the Shopping Festival when there are sometimes good discounts. But that is in January so not much use now.
The UK is much cheaper if you are passing anywhere near there.
I'd be fascinated to see what anyone comes up with.