American Science & Surplus and Micro Center are the only places I know in Chicago that stock components, but the selection is generally pretty limited and catered mostly to the Arduino and Raspberry Pi DIY crowd. Mouser and Digi-Key are usually the way to go unless it’s an emergency.
Modular Addict is personally my favorite synth DIY shop (excellent selection of panels/PCBs/knobs/jacks/pots), but they’re in Milwaukee.