"Downtown", I like Steve's Deli ("Jewish-style", not completely Kosher) at 354 West Hubbard St. in the "River North" neighborhood (a 1/2 block from either the East Bank Club or the Merchandise Mart, and it's easy to reach by public transportation or on foot (of course, "on foot" depending where your starting point is!).

http://www.stevesdeli.com/home/index.html