LaGrange Hobby is one block south of the Metra station in LaGrange. They have some neat stuff.
Hill's Hobby in Park Ridge has reduced their model railroad section but it is still worth a look, and about a block from the Park Ridge Metra station.
A2Z Hobbies in Elmhurst is small but has some good things--they recently (within the past few years, anyhow) split from being a big general hobby shop to being a big RC car/tank/boat hobby shop and a small model railroad shop.
If you can get a ride, check out Ram Trains, Golden Spike and Chicagoland Hobby, as well as Des Plaines Hobbies...not accessible via Metra, but all are worth a look in my opinion. Chicagoland and Des Plaines are big huge places with everything in them, Ram Trains and Golden Spike are small places so packed with stuff it's hard to fathom.
I don't live in Chicago but visit there every couple of years, to see family and raid the hobby shops...