Cecil chimes in: http://chicago.straightdope.com/sdc20091217.php … Congrats, Stan!
Blommer Chocolate, at 600 W Kinzie - I used to work near there, and for years I wondered why I often smelled chocolate while walking to and from the train station. When I finally found out, I went there and found that they had an outlet store. 
Ceil said, about improving his financial wherewithal for a model train set-up:
My brother-in-law tells a similar story. Saved all of his lawnmowing and paper route money, begged train parts, track, etc. exclusively as birthday and Christmas gifts, cleared the space in the basement, was finally ready to set it all up, and…
He discovered girls.
The stuff is still in his parents’ basement and he likes knowing it’s there.
One simple thing I miss hasn’t been gone that long: the drive around the Planetarium. Occasionally after sunset I’d just drive there down LSD (or the Kennedy, depending on where I was living at the time), sit in my car for a while, then drive home. From the easternmost point, if you looked straight east over the lake, you could forget the city was behind you.
Does anybody remember a combination hobby shop/pet store/toy store in the Loop off State called (if memory serves) “Vaughn’s”? As I recall, pets were on the first floor, and toys were on the 3rd floor. Excellent selection of imported metal soldiers and china dogs and horses. My brother and I spent lots of our allowance there.
I also recall the huge floor of toys at the old Marshall Fields which was always a successful bribe - we could go look around there after what seemed like hours spent on the floor of fabrics/sewing notions.
Back in '79, right after the tragedy in Cincinnati, the Who was scheduled to play at the Amphitheater. Lots of noise was made about canceling the show but it went on. Which rocked for me, I had second row center tickets. I couldn’t hear for three days after, but it all seemed worth it at the time.
I went to my one and only Star Trek convention at the Chicago Amphitheater. On Halsted, right? I was 13 (1975).
Jack IS back and looks… exactly the same as before they “repaired” him.
Yep it was on Halsted.
The catacombs at the Ivanhoe Theater and Restaurant on N. Clark
Augustana Hospital @ Dickens and Lincoln (where i was born)
Henrotin Hospital @ Clark and Oak
Roma’s @ Sheffield & Webster
Lincoln & Belmont when it was a center for shopping
Sieben’s brewery on N. Larrabee – still remember the great root beer served with pretzels and mustard and sitting out in the beer garden with family.
Riverview rollerskating rink on W. Belmont
Rowland Home for Funerals @ W. Buena & N. Sheridan across from St. Mary of the Lake Parish
Great homes of old Chicago wealthy on the north side of W. Melrose east of Broadway. Can vividly recall playing in one of the homes before it was demolished in the 60’s.
All of the Louis Sullivan designed buildings that were demolished over the years.
Math Igler’s German restaurant, on Melrose off Lincoln Avenue. Home of the singing waiters!
I have to like somebody who lists hospitals and funeral homes among “Cool Stuff”!
A few more:
Ripley’s Believe It or Not Museum in on Wells in Old Town
The funeral home on W. Belmont that was replaced by Ann Sather’s restaurant (it is haunted)
Red Lion Pub on N. Lincoln
Great Expectations Bookstore on Foster Street in Evanston
Is Red Lion definitely gone? I know they’ve been “closed for remodeling” a lot longer than anticipated, but I’m still holding out hope.
Another favorite that’s been gone awhile: Zum Deutschen Eck on Southport…TRM
The first time I visited Chicago with my parents, we stayed at the mag-mile Marriott which was right across from Disney Quest, a really nice video game arcade/experience much better than the likes of GameWorks or Dave & Busters. The next time I was in town, it was gone. I was sad.
I think Nike now occupies what used to be the Disney Quest space.
Alas, the list of cool stuff that’s gone continues to grow. Now it looks like The Pump Room as we know it is being morphed out of existence:
http://blogs.suntimes.com/hoekstra/2010/01/pump_room_swan_song.html
I also remember visiting the Rand & McNally store on Michigan Ave for a map of Paris and of London before my first trip over there. I like maps. That store is long gone, too.
And Kroch’s & Bretano’s was a great book store–quirkier than Borders or B&N by a long shot. <sigh>
We always looked for the Magikist sign so that we would know the exit for I-57* was coming up soon and we had to get over to the right or end up in Indiana (a fate worse than death!). It made a great landmark. 
*I’m a southern suburb girl.
My wife and I both worked in Kroch’s & Brentano’s in Old Orchard in the early 70s. Sigh.
And I ditto the Magikist sign northbound with the Coca-Cola sign: it didn’t mark an exit, but it was like a homing indicator.
Anybody remember Lytton’s, a clothing store that featured “classic” clothing (like Talbot’s used to or Brook’s Bros does). I loved Lytton’s…