The following four established got mention in Dec's issue of Chicago Magazine.
Chilled Prawns at Margeaux Brasserie ( Waldorf Astoria Hotel)
Classic Jumbo Shrimp Cocktail at Shaw's Crab House 21 E Hubbard St
Cherry Circle Room Shrimp Cocktail at Circle Room 12 S Michigan Ave
Charred Shrimp Cocktails at Portsmith 660 N State Street
After doing a bit or research and scanning the four websites, I'll put Shaw's Crab House on my list...