North side clubs? Depends on how far north you're talking about, and if you're talking about strictly blues.
Kingston Mines is on the north side, but still not too close to O'hare, which is on the far northwest side. It'll still be better to use the train.
There's a blues club in Evanston that I've been to and is decent, but that's probably harder to get to than downtown.
If you were to go to one music store, I'd go to Make N' Music. It's new and not vintage, but the inventory they keep is just staggering, and they're nice guys. I don't go to The Music Exchange too often, but I wasn't all that impressed the last time, and they aren't the most friendly store ever.
Enjoy it. It's a great city!
And if you want the best pizza in the city, it's not Uno's, Due's, Giordano's, etc. It's a place called Pequod's. There's one in Lincoln Park, and there's one in Morton Grove, which isn't too far of a drive from O'hare.