I would check out Iwan Reese (state & wabash I think). They are the oldest tobacconist in town. If you are here over a Tuesday, Up Down Tobacco sells OpusX 2 sticks per customer at MSRP around lunch time. They are at North and Wells (be warned they are expensive on everything else). Be careful, tobacconists around here like to add on 20% to the price of the cigars once you get to the register, so be sure to ask if the marked price includes the taxes. If you want to check one of the best shops I have ever been in and can head north of the city for a day or two, go to Cigar King in skokie. In a word amazing. They really specialize in house blends. In fact, I would say that half of their humidor consists of their own brands, but they have 5 private labels made for them by Pepin Garcia (maker of Tatuaje). The shop is pretty sweet. Also, consider the Cigary in Wilmette, they have a good selection and great prices.
If you are coming to town also check out Sullivans Steakhouse, they have a great cigar bar upstairs and also check out the Penninsula Hotel cigar lounge. Those are the big cigar smoking hot spots downtown.