"Governments may think and say as they like, but force cannot be eliminated, and it is the only real and unanswerable power. We are told that the pen is mightier than the sword, but I know which of these weapons I would choose."~Sir Adrian
Iwan Ries on Wabash is a must visit as others have stated, but its not the only game in town. BeardedMI mentioned Arlington Pipe and Cigar which is also a cool place - they have a house aromatic blend called Hunters Blend that is well loved. There are several other places that are worth your time while you are in town as well:
Up Down Tobacco - located on Wells in Old Town, Up Down has a great selection of pipe tobacco, pipes, accessories, cigars, and other tobacco products. Esoterica and Germains tobacco products are almost always in stock at Up Down. Expect to pay the $2.50/oz average tax on purchases though.
Biggs Cigar Mansion - located on North Dearborn, this one is worth a visit for historical precedence alone. Biggs has a fairly large selection of cigars as well as several floors of smoking lounge area (a cover charge applies). They allow BYOB and will provide a bartender for a group.
Jack Schwartz Importer - on West Jackson in the CBOT building, this is a very cool old school cigar shop. They used to carry pipe blends but I havent seen them in stock for some time.