There's also a Reckless on Milwaukee Ave in Wicker Park, closer to your area. You might also check Dusty Grooves. Depends on your musical tastes as to which store you might want to check out. Both have websites:
http://www.reckless.com/
http://www.dustygroove.com/
Here's a couple others around town:
Hard Boiled Records and Video
2008 W. Roscoe St., Chicago
Tel: (773) 755-2619
Jazz Record Mart
5 E. Illinois, Chicago
Tel: (312) 222-1467
Fax: (312) 222-0497
Good Luck
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