First, to describe what they are - they're usually called "French macaroons" and they're two thin, almond-paste macaroons (NO coconut) sandwiched around a thin layer of buttercream. I wouldn't describe them as meringue, although almond macaroons are basically almond paste and egg whites, which is similar, but they have the consistency of a light almond paste, rather than that of (often stiff) meringue. And yes, they are heavenly. Ideally - to my taste, anyway - they have a strong almond flavor (sometimes the almond flavor isn't as strong).
I've had them at all three places mentioned so far. Fox and Obel used to have them all the time, but more recently, as emmi notes, they're only by special order. It's only recently that they started carrying them at Bennison's. Vanille's are tiny (not that size matters, since you can just eat more).
Another place that has them is the Gourmet Frog in Highwood, across the street from the train station. The Gourmet Frog is the carry-out adjunct of Froggy's French restaurant. Gourmet Frog also has meringue cookies, if that's of interest (as well as French pastries in whole and by the slice, wonderful sugar cookies dipped in chocolate, excellent quiches and soups, etc).
All of the above except Fox and Obel carry them in multiple flavors (flavor, e.g. chocolate, raspberry, etc. added in addition to the almond paste base).