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A word on Chicago thrift stores: The problem with discount shops in this town is that they're open one day and gone the next. And upon moving here, we were introduced to an entirely new "thrift" store: the concept of curated vintage (see: Belmont Army Surplus and Seek Vintage).
However, you'll find your best dirt-cheap scores at jam-packed, smelly warehouses. For everything you need to know about places like the Salvation Army, Unique Thrift and Village Discount Outlet, see Erin Nederbo's rundown at Up Chicago. (Updated January 2012.)
Squidoo also has a pretty comprehensive list of what's around, though it seems to be more of a catch-all than a curated selection. Regardless, they offer two great routes if you've got a free afternoon.
Wicker Park: The Ark Thrift Shop (1302 N Milwaukee) --> Bucktown Village (2032 N Milwaukee) --> Bucktown Family Thrift (2160 N Milwaukee).
Andersonville: The Brown Elephan (3651 N Halsted) --> Uptown Salvation Army (4315 N Broadway) --> Uptown Unique Thrift (4445 N Sheridan) --> Andersonville Village Discount Outlet (4898 N Clark).