If you're a wine fan and are ever in Chicago, I highly recommend hitting up Just Grapes. (I am getting no kickback or compensation for this post - just calling attention to a place I like.)
It's located about a block west of the Ogilvie Transportation Center, so very easy to get to via public transit.
It's a wine shop - good sized, plenty of options, at fair prices.
The thing that pushes it over the edge, to be blog post worthy, is they also have a pour it yourself tasting bar. You get a rechargeable card (minimum opening $10), they set you up with a glass, and then you can go around to the tasting pour and get some wines - check out the photos and info here.
Today, for twenty bucks, I was able to try around nine wines - decent sized pours, more than you'd get at your average store tasting, and since it's always open and not an "event" you don't have to worry about working your way to a table/bar while dealing with some the pushy characters who sometimes attend such things.
There are different ways to approach places like this - go for what you like and interested in buying, or - what I do - is go for stuff you don't normally drink. For example, I don't drink much Vinho Verde, Tempranillo, or Pinotage, but for six bucks I got good sized pours of four different wines. None of them worked for me, but at least I tried something different and did some experimenting for less than the cost of a bottle of Yellow Tail.
It's also a great spot because some of the wines at the bar are pricey - $50, $70, even $90 bottles are up there. The pours for those aren't cheap - $4.40 for the $90 bottle - but, how often can you try a bottle at that pricepoint for so cheap, if at all? The cheaper bottle samples are as low as eighty cents.
Take a look, give it a shot - I don't often endorse wine shops or bars, but this one easily earns it.