I go to Reckless Records: Wicker Park, Lakeview, and now in the Loop as well. Online catalog:
http://www.reckless.com/

Then again, it kind of exemplifies why "High Fidelity" was filmed in Wicker Park.

For more targeted selections, try the genre emporia, like Jazz Record Mart and Dusty Groove America -- and quite a few more indies that specialize in stuff I've hardly heard of. Sadly, I can't say that I'm doing my share to support their continued existence.