Be sure to visit America's Best Train and Hobby in Itasca at Rohlwing Road and Route 19 (Irving Park). I have visited most of the hobby stores in the Chicago area and found America's Best to have the most stuff.
Lombard Hobby in Lombard seems to be the best if you are only looking for loco's and cars. Huge selection but not much other stuff.
The Walthers and/or Atlas websites have a list of local hobby stores as well as the Model Railroader magazine.
Best of luck...Bring lot's of $$ or leave the wallet at home.