I live in Florida, but try to visit Venture hobbies everytime I'm in Chicago.
I traveled around the country on business for many years. Before leaving I would always consult the shop listings in the back of FSM, especially when traveling someplace new. Discovering new shops was more fun than just sitting in a hotel room (or bar) after hours.
Venture Hobbies has been near the top of my list, along with Brookhurst Hobbies and the late, great Paul Frieler's Historical Models out in the LA area.
I also found that the greater Milwaukee area probably has the most good shops, which no doubt has some correlation with the fact that Kalmbach (and FSM) is located there.
Mark