Big Boxes in Chicago....
A Target in the South Loop neighborhood (Roosevelt and Clark)
^^ Not a surface parking lot, but rather the top deck of a garage
Another Target on the North Side, across from Rosehill Cemetery (Peterson and Damen)
Home Depot in Lincoln Park
Beyond this, there isn't much examples of freestanding, "urban" big boxes in Chicago. The downtown area has supermarkets on the ground floors of certain residential towers, and most neighborhoods either rely on small mom&pop stores, or go to definitely "suburban" big boxes with parking lots that are located in industrial areas. Sadly, developers keep proposing more of these, but now they are mostly proposed for impoverished neighborhoods on the South Side.