mahoneymem,
Welcome to the Windy City!! I've lived here all but 2 yrs of my life. There are several shops around the city.
My favorites are Venture's which you already know of and Trost hobby shop which is on the southside of the city on 63rd and Avers just east of Kedzie Ave.
Trost has been around for years!! They have a very good selection of kits that are somewhat hard to find and they have very good prices with sales almost all the time.
Al's hobby shop is in Elmhurst on Green St, 2 blocks south of North Ave. Al's is pretty good for supplies and they have a good amount of models but they're behind the counter which means you have to let someone know when you want check out a kit.
If I can't find what I'm looking for in these shops I go the Squadron. I hop this helps you out.