The Sex Shop was a sex shop in Romero & Carpen Town. The angels, Garterbelt and a few other remaining survivors went there in order to grab the various shop's articles in order to fight off the zombies, during "...Of the Dead".
A zombified Panty and Stocking wait for dawn on top of the Sex Shop
After all the survivors were turned into zombies, the Anarchy sisters sat at the top of said shop, waiting for dawn.