The Fine Arts Building, Chicago

Not to have visited the Fine Arts Building in Chicago is not quite equivalent to having wasted your life entirely, but it comes close. Clear proof that the Fine Arts Building violates many apparent laws of the known universe will be found in these posts from Yelp:
http://www.yelp.com/biz/fine-arts-building-chicago

I can recommend Performer's Music (9th floor), the best sheet music store I have ever seen, but not the largest -- think about it-- as well as Selected Works, the bookstore on the 2nd floor (beware of cat). SW also sells used sheet music.