Portillo's "Polish" is the way to go. I know it's a chain, but it's still local to Chicago and every one I've been into has done me right. I'm down with their Chicago style dogs too. That's some good eats.
I'll punch you in the face, though, if you order a dog and put ketchup on it. Ketchup on a dog should be fucking illegal. That's one thing about Chicago that I'm down with.