Aroma's is okay - a bit pricey, but the owners are nice - and when they get to know you they tend to be a little more reasonable...
I usually go to Cigars and More in Libertyville - great selection of cigars and accessories, good prices, nice events, great sales (bought a $400 Promethius humidor from there for $99) - and it's a great place to hang out (great group of guys - TV's, leather chairs, poker, etc.). They don't sell alcohol, but the owner allows you to bring it in if you are reasonable (no drunken orgies, sorry...)
Here's their website
Cigars and More
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