While I was in Chicago this past weekend, I found a dessert bar downtown on W. Kinzie called "Sugar". The atmosphere alone was worth the visit, but the dessert was even better. The dessert menu was several pages long with a wide ranging selection. The prices were around $15 for the desserts but worth it. The only downsides were the music volume and the dimness from the lighting made it difficult to read the menu. Be prepared to go late - reservations are from 5p-2a - and the earliest we could get in was 12:30 am.