Sam's is worth a look, the main store on Marcey Street (it might be Kingsbury). I don't shop there much, but it's an impressive place nonetheless.
Binny's has a few good stores, the one on Grand is nice, the one just South of Wrigley (where Clark meets Halsted) is equally nice. They are also building the largest wine store in the Chicagoland which will be in the South loop, just South of the business downtown of Chicago. They say it will be opening in November.
HDH indeed has a great selection, but there is no store. You buy in advance either by web or phone, then you go in to pick it up. The 'retail' location is a small office in front of their massive underground cellar. There are no bottles on display, and I don't think they will sell to someone who just walks in.
There are a few other smaller places I frequent, but they're not that exciting for out-of-town visitors.