Cloudy:
I live in Chicago. I do most of my B&M shopping at Blue Havana. It's not the best shop around, but I find it entertaining to hang out at and it's just a few blocks from my home. It's also right near the Belmont EL station, so it's not hard to get to if you don't have a car while you're here. Actually, it's easier to get to without a car, as parking around here sucks. They've had a bit of staff turnover lately and it's resulted in some overstocking problems, so they've got some nice stuff at 40% off at the moment. The pick of the overstock is, IMHO, Perdomo 1991 gift packs. The down side is tax on sticks is 27% around here, so after retail store extra markup ordering from c.com may still be cheaper unless it's too small a quantity to make up for the shipping charges.
Arguably the best Chicago shop isn't in Chicago at all, but rather up in Skokie (a burb bordering the N. edge of Chicago): Cigar King. It's a big store, and has lots of custom house blends.
The Up Down is a well known Chicago shop with a good selection, but generally overpriced. If you'll be here during the week and have free time in the middle of the day, they sell Opus X at MSRP on Tuesdays at noon. Or at least they did last I heard. Limit 2/customer. They're just north of the loop (downtown).
If you enjoy smoking a pipe, check out Iwan Ries & Co. I'm not really a pipe smoker, but from what I hear it's the place to go for pipes & pipe tobacco in Chicago.
