Do you have a furniture style in mind? Is your budget more Merchandise Mart or Menards?

I am furniture shopping too, but I narrowed it down by manufacturer (klaussner, we are on a budget) and will be going to a local store that deals with them.

Check the Habitat for Humanity ReStore first. You will be surprised what is there, it is not a thrift store. There is one on the Northwest side on N. Pulaski, just north of Peterson.

It depends upon your budget. For better quality mid - higher end furniture there's Tom's Price and Smithe. We've purchased furniture from both over the years and have had good experiences.
Both have several locations throughout the Chicago area.