Where in Chicagoland are you?
GAT Guns in Elgin is a bit pricey, but an option.
There is a place in McHenry on 120, but I have forgotten their name.
During the nicer months there is a guy who opens up some of his land to members of www.illinoiscarry.com
on specific days. Might want to join there as well, as they offer a ton of local information.
If you want a CCW class (not legal in IL, but you can get a UT permit), there is www.carrysafely.com