Pro Musica is a good shop, John is a great guy. He is heavily into Naim.
Saturday Audio Exchange is mostly inexpensive stuff, Some factory refurbished and used gear. They can be busy so it can be difficult to demo a piece uninterrupted,
I did not know there was an Audio Consultants in that area. But they closed a couple of their locations. I know they closed the Hinsdale store. They may only still have their original Evanston store open.
Music Direct is a great store. I don't know how much gear they have on display though. I have not been their since they moved. I have gotten some great deals on demo stuff from them in the past.
Quintessence Audio in Morton Grove is another great store with lots of higher end gear. Audio Research, Sonus Faber, Magico, Pass Labs and ClearAudio just to name a few. Lots of gear to demo and Mick is a super nice guy. Easy to get to if you have a car, just north on 94. They are just west of 94 on Dempster.
To be honest we have not gone into the city in years. It is just not safe anymore what with all the shootings and car jackings. Not to mention the whole parking meter deal and bogus traffic cam tickets.
Have fun, there are still a lot of good stereo stores in the area. A wide variety of gear to see and demo.