The place in Skokie is Old Orchard Aquarium. It's right around the corner from the Old Orchard Mall. They've got a big selection. It's the only place around here that I've seen sell tunicates. They've got a nice shark lagoon with scheduled feedings.
Old Town at North and Wells has the best looking display tanks.
Also in Chicago is Aquatic World at Lincoln and Belmont. It's not the prettiest place, but they've got good sales and a decent staff.
Living Sea, as mentioned, is expensive. However they've got a great selection of healthy fish.
Beyond the Reef and Advanced Aquatics are smaller shops in Schaumburg. Not a huge selection, but parking is easy and the atmosphere is not as frantic as in the bigger shops.