Best Candy Stores in Chicago and the Suburbs: Get ready for a sugar rush with these sweet Chicago shops! Windy City Sweets Address: 3308 N. Broadway, Chicago This classic candy shop sells homemade fudge, ice cream, colorful confections and gift baskets. Try the “Windy City Sweet Sampler” which includes a little bit of everything – s’more, English toffee, chocolate sea salt caramel, caramel nut clusters and more.