Well, I know there are a few groups in Chicago, but I don't know of any game stores there. However, if you go to Games Plus in Des Plaines (easily reached via Metra,
http://www.games-plus.com/) there are usually ads for gaming groups in Chicago and the games they're running. There are usually quite a few there, as well as games in the store itself. A lot of people from the Chicago area go to that store since its accessible by train. The station is literally less than a block away from the store.
I used to play in one there, but I believe they have since parted ways, and I couldn't recommend them in any case.
I personally live in North Chicago and have a friend who would play as well, and I don't live too far from the train station up here, but I'm only available in the evenings and I don't know how late the Metra runs. On the other hand, if you have a place to play, Evanston isn't bad, though I refuse to go into Chicago proper as its just always been a huge hassle between traffic and parking. It makes my trip vary from 25 minutes (miraculously clear for some reason) to three hours, with 2 hours being the norm. If this sounds like something you'd like to do, send me an email (I believe I'm set up here for that) or send me a private message here.