I'd like to make one addition to Gary's excellent list of African markets: La Fruiteria at 8909 S Commercial (3000 E). This Afro-Carib-Mex store is one of my favorite markets in Chicago. It deserves a post of its own (and might even get one if I have time). In the same area, Gary lists Unity Food Imports at 8462 S Commercial. I believe it now goes by the name of African Home Food Market (I think but am not sure it's still in business).
Of the African markets I've been to, La Fruiteria and Old World Market (5129 N Broadway) are my favorites. They should be able to supply you with most of the less common African ingredients available in Chicago.
Aaron's suggestion of 'Penzey's and The Spice House is a good one. Quality is usually commensurate with their (high) prices. For better prices and usually good quality don't overlook the Indian shops on Devon. There's a high degree of overlap between Indian and Ethiopian spices. Patel Brothers (2542 W Devon) is my standby but there are many others close by.