Smoked fish in Chicago
I've gotten some great Jewish deli style kippered salmon at Fox & Obel, but I'm not sure whether they always have it. They always have a nice variety of smoked fish there; their prices are generally high, but the price on the kippered salmon was actually lower than the delis, last time I got some, earlier this year. www.fox-obel.com
Other than that, I'd try the local Jewish delis, as follows...
They usually have some pretty good smoked fish (and a nice selection) at Kaufman's Deli in north suburban Skokie, including lox, nova, and other types. www.kaufmansdeli.com
I've enjoyed the food I've gotten at Steve's Deli in River North, but I have not tried their smoked fish (although I know they have various kinds). www.stevesdeli.com Same thing is true for Schmaltz in west suburban Naperville. www.schmaltzdeli.com
You can also try the fish markets discussed in the following Chowhound topics, but I'm not sure whether their smoked fish would be in the Jewish deli style you're looking for:
Although it's not a smokehouse, you'll find an excellent selection of "New York Jewish Style" smoked fish at very reasonable prices at Village Market Place in Skokie on Dempster, just west of Crawford. This grocery story specializes in Russian/Balkan Jewish foods. Make sure to look at the smoked fish both behind the deli counter (to the left of the fresh fish), and in a refrigerated section that is across the isle, next to the bread section.