Hey there!
I'm just moving back to Chicago, and there apparently a lot of places to play.
In the city itself is Black Sun Games, I stopped by there a few weeks ago and the guys were really nice, helpful, and getting set for a new campaign. The store itself, while smaller, is set up very well, is very clean, and is actually quite nice looking. Plus, they have forums going
http://blacksungameschicago.com/
Of course there are many
GW stores where there are usually people playing, I've been going to the new Palatine store recently.
There is another place I stopped by called Games Plus in Mount Prospect, and it was really big and had a full dedicated game room. It caters to all sorts of games, not just
GW stuff.
http://www.games-plus.com/
Finally, you should check out Adeptus Windy City forums to find out Chicago Specific
GW happenings
http://www.adeptuswindycity.com/forums/
Hope this helps