I visit Chicago a few times a year, so here are a few favorites/regular stops.
As far as records, I've never had a ton of luck. My girlfriend's sister lives in Andersonville and Rattleback is there. Definitely tailored more to newer popular/standard indie rock stuff, but if you dig through the bins there are good used finds for decent prices.
Dive bars: Simon's is my top recommendation, pretty much across the street from Rattleback. Also great are Berenice's Tavern, Skylark, and Long Room.
Don't know if you're just into VHS, but if you dig low budget horror and stuff, I know Graveface sells their TerrorVision releases. Haven't been, but I know it's out there.