Sephora

RORY: She’s a very cautious driver. She doesn’t roll through stop signs, doesn’t speed, she always signals before she turns.
LORELAI: Hm. Commendable, but not the person I want driving our getaway car.
RORY: What are we robbing?
LORELAI: Sephora. We had it all planned out.

Sephora is a French multinational retailer of beauty and personal care products, founded in Limoges in 1970 and now based in Paris. Since 1997, it has been owned by luxury conglomerate Moët Hennessy Louis Vuitton (commonly known as LVMH). Sephora opened its first store in the US in New York City, in 1998.

The nearest Sephora store to Lorelai and Rory is the one at the mall in West Hartford. Presumably this is where their imaginary heist would take place.