...the annual CHIRP Record Fair is happening April 12th and 13th this year.
This was known in past years as the WLUW Record Fair. I don't know about anyone else in Chicago but as a vinyl nerd, I've made point of checking this out every year for some killer finds from independent vinyl and CD dealers from the area. There's live music all weekend, as well, so it's usually a fun time.
More info here:
CHIRP: Chicago Independent Radio Project » CHIRP Record Fair And Other Delights