NPR did a segment a year or two ago on the best donut shops in Chicagoland; I didn't think I could get a craving for donuts by listening to someone describe them on the radio, but I most certainly did.
You might try searching NPR's archives on the web for this piece, which should be a good start (and maybe the end too) for your search.
Since you won't give an area, I'll do extremes:
If you fancy an apple fritter along with other donuts, try this:
Old Fashioned Donuts
11248 S Michigan Ave
Chicago, IL 60628
If you fancy a boston / bavarian cream like concoction, try this place, and get one for me too! Only one though. You will NOT be able to eat more than one of these cream filled pieces of pure heaven. They weigh like a pound each, and are filled with REAL CUSTARD. Call ahead, or be prepared for a serious wait:
5348 N Clark St
Chicago, IL 60640