im in the chi area to and i haven't been there yet as i've just started to sample vinyl, but i hear dusty groove america is real good. www.dustygroove.com is their site.
You can go to Gramaphone, downtown....or I think that there is even a used shop like across the street from there. There is also beatutiful day or rocket 69 I think even sells vinyl. Clark and Belmont area.
I always just got off the addison stop in wrigley village if i remember correctly, and walked all the way up clark street and theres like 10 mabe 15 spots. gramaphone, hi fi, second hand tunes, reckless. its a great all day record shopping trip.