If you need resistors, capacitors, etc that are decent commercial quality or better, I was never able to find anything at retail in the Chicago area when I lived there. Tristate is roughly comparable to Frys when it comes to electronic parts, tools and supplies. They're good places to pick up a can of DeOxit or some decent solder, but their parts selection is average at best - if you need a 220uF/35V cap in a hurry they'll have one, but it's not likely to be a Nichicon or Panasonic, much less anything fancier.
When Triode was in the city, you could go there and pick up your order (back when Uncle Ned still worked there you could even just go there and ask him what parts he recommended) - I don't know if you can still do that since they moved out to the sticks.
When I lived up there I used to get my standard commercial parts shipped to me from Mouser and Digikey, and audiophile level parts from Madisound, Parts Connexion and Handmade. Same places I use since I moved to Houston.