Here ya go:
http://www.budsgunshop.com
They're in Paris, KY, so I'll bet the shipping to IL would be 2 days, tops.
I'm not sure what the price differential would be on the low end shotguns, like the base 870's: there's probably not a whole lot of extra room on a $250 pump. But if you're looking farther up the price scale, they might save you a buck or two.
I'm looking at a Savage 14 Classic rifle, and they're about $100 cheaper than the places around here (that don't even have them!). Your local place will probably charge $25 for doing the transfer for you. On the plus side, though,you'llsave the tax! (Unless IL somehow gets their paws into it...)
Good Luck,
FC