Trade N Try Games or TNT Games There are two locations, one in Harvard IL, and one in Woodstock IL. They suck. It's pretty much a copy of Play N Trade, except everything costs more there. I got Golf for NES for 99 cents at my local PNT and TNT wanted 10 bucks for it. Same condition too. Ugh. I would just avoid them and get what you want online because it's essentially the same price.
There is a place in the Volo Auto Museum and Antique Mall (The Auto Museum is pretty neat, they have all sorts of cool cars to look at) that sells some old videogames, but like everything else in the Antique Mall, it's probably alot more money then it needs to be. But they have some pretty interesting stuff and worth a peek to see neat things if you happen to be there anyway. I probably wouldn't get anything there because it seems to me to be really expensive.
Videogames, Etc. or Videogames Then and Now
Not really sure what it's supposed to be called, I've seen both. It's on Harlem and Montrose in Norridge/Chicago, IL. It's a few blocks north from the HIP Shopping Mall, so there are other places to shop if you need other stuff besides video games
People Play Games
This place is closer to Wrigley Field and probably the game store that I frequent the most as of late. (Where I am living, it's really easy to just hop on the Red Line to Belmont and walk the two blocks from the stop) It is on the corner of Clark and School, a block north of the Clark and Belmont intersection and about 3-4 blocks south from Wrigley on Clark. They are pretty similar to the store in Norridge, but the games they have are MUCH better. While they don't have all of the classics, they tend to have more of them then Videogames, ETC. The prices seem pretty fair except for systems. Unlike Videogames ETC they don't give you a free game, which kinda sucks because the systems cost a few dollars more here. Still they occasionally have something of note (like a MSX2 computer from Japan or some systems CIB in their original box, something you don't see often if at all at the other store) that is worth getting. They have quite a bit of different controllers as well, but I have trouble seeing them because they are all on a wall behind the counter and my vision sucks and I can't really make out what they are or how much they are, but if you ask they will gladly tell you. Pretty good customer service here, much better than the other store IMO. If you are visiting Chicago, I would definitely recommend coming here, especially before or after going to see a baseball game at the historic Wrigley Field. You might find something pretty cool!
The Exchange
This is the last one, and it's pretty short. I think this place is a small chain akin to PNT, but they sell tons of used CDs, DVDs, and video games. The selection is pretty good, but there are more last gen games than retro, and the prices range from overpriced, to pretty good. I got a used fat PS1 with all cables and a controller for only 5 bucks, so you might luck out. From what I have seen here it's better than Trade N Try as far as prices. Worth checking out since it's really close to People Play Games. There might be a few locations in Chicago, but the one I know of is on Belmont in between the Red/Brown line El stop and the Clark intersection. The customer service is pretty good and I haven't had too many problems. Worth going to if you want some new flicks and tunes as well as games.
There might be more places in Chicago and the suburbs, but those are the ones I am familiar with.