Chicago
As fine as you are it doesn't matter what you wear 
Just wait until I get back from my Paris trip in June...
Chicago has very little in the way of quality lingerie. The major brands known in the US are here-La Perla, Agent Provocateur, and Wolfords (all too conveniently located across from AP 
), but in my personal opinion, the smaller boutiques in Chicago are terrible. G Boutique is incredibly overpriced with snotty help that doesn't have a clue how to properly measure for a corset, and all of the other boutiques in Chicago very much run toward what I personally consider the boring and conservative. They're ok for quality every day wear, but I wouldn't shop there for something you want to seduce someone in. (Sorry, years in museums working with textiles made me picky about my lacy items.)
I believe the OP mentioned she's from NYC. Manhattan has some incredible shops the point of spoiling a girl for most other cities. You're not going to find anything in Chicago that you can't find in spades in NYC, sadly. Stick to Manhattan, LA, and a handful of other places in the country. I have one or two shops from each city I've visited that I consider really worth the effort of visiting when there.
Personally, I feel some of the most innovative designers are presently coming out of the UK. Look around some of the boutique shops in your area, and you'll finds scores of items from these smaller design houses.
Best of luck!