Believe it or not, I am very partial to the lamb shanks that are served at the various locations of Cafe Deluxe. The dish is consistently well prepared and delicious. I would have them more frequently if they could figure out how to lower the decibel volume at their restaurants.
Layalina has a whole bunch of lamb shanks. I've only been there once and had the toasted lamb shank. It was great. Zaytinya also has a very nice lamb shank (hunkar begendi). It is a mezze, but it is pretty large for $9.
I had this at Evo Bistro two weeks ago, at the bar. It was tremendous, almost as good as the killer lamb shank at Jacky's Bistro in Evanston, Ill., which is a must for any lamb shank connoisseurs who are ever in Chicago.