Hi Chris,
I'm from here in the NW burbs of Chicago. I would suggest "The Golf Center" in Des Plaines- on River Road (and Golf rd.), about 15 minutes east of Shaumburg. They have a 3-tiered driving range for lessons, which Golf Galaxy and Golfsmith do not. I like this because your outside and can see your entire ball-flight. I'm sure they include video tape, but not positive.They also have "Golf-tec" indoors for computer technology.
If you leave me a GW message I can at least help you out a bit.