Sheesh, I knew about Reckless and I've only been to Chicago three times. There's one off of Belmont. There's also some record store I went to while visiting a friend in Hyde Park. A wicked bookstore down there, too.
Also, check out Shake, Rattle and Read (or something). It's a bookstore, not a record store, but we stumbled onto it in November of 2004 while visiting. It's in Uptown, right by the old theatre (or something) that's in the booklet for A Guided Tour Of Chicago. That place is sweet.

Man, you people in Chicago get to eat Philly's Best, too. I'd be envious of people in Philly for getting authentic Philly cheesesteaks, but Chicago's scene is a lot better.