When we were in Chicago last month for Otis' CDP, steve8 and I stopped in to Binnys on Grand Ave. GREAT place to shop for wine. Good prices and selection. You can check out what they have on their website ahead of time. As they have a few locations, if you find something specific you want, you can arrange for it to be at the store you want to pick up. Just be prepared to excercise some restraint (steve's better at that than I ).
Next visit to Chicago I'd like to check out Hart Davis Hart, as I've purchased some nice aged wines from them before, however I'm not sure if they have an established retail showroom.