Pasticceria Natalina in Andersonville (5400 block of north Clark) hands down. I've eaten a lot of canolli in Italy and these compare to the real thing. They also make sfogliatelle, which are ridiculously good.
Sicilia Bakery at 5939 West Lawrence has the BEST cannoli’s anywhere. They make them still by hand and are the freshest anywhere. Definitely something everyone should try. If you are a cannoli connoisseur I guarantee these will be the best you ever have.