Where in Chicago are you? You can buy one filled from Brew & Grow. That's where I go to get mine. They, however, don't refill but do exchanges on CO2 tanks.
A great place in the city to do refills is NFC Suburban Carbonic located on Leavitt and Clybourn (I think). I think they charge $20 for ANY size tank. They also let you bring in your own tanks (as opposed to many places that do exchange only).