ParaGear is in Skokie. They carry almost everything, but it isn't really a gear store where you can wander around and look at merchandise. They are primarily mail-order / internet based, but they have a sales counter and are happy to help out if you show up in person.
ParaConcepts at Skydive Chicago in Ottawa is a full-service gear store and rigging loft.
I think the new Chicagoland Skydiving Center in Rochelle might have a pro shop, but I can't remember.