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Usually, most places will stock plants that do well in a given area. You're right outside Chicago, so you should have a decent growing season for most varieties. Some of the hot peppers take longer to mature, but most bells picked at the green stage should do fine.
A Lowes or Home Depot may not have anything exotic, but will have nice transplants of a general variety that will work. California Wonder is a good bell, as is Big Bertha. They should be available locally, as they do well in most parts of the country.
Lowes and Home Depot are a very good idea. I live a few miles away and I found some mammoth Jalapeno's, and orange bell peppers at Lowes on Weber Rd. They have a lot of maters right now also. Nothing really hot though like habanero's.