I'm a fan of the Baltic Brick myself and always thought Chicago was fortunate to have such a variety of good rye breads from Baltic Bakery so widely available (at reasonable prices no less). They also make Russian, Latvian, Bociu Duona, Bohemian, Lithuanian, Zakopane, and Polish rye breads, plus probably others I can't remember. If you haven't had it, try to get the Bociu Duona, a sprouted rye loaf. It's nowhere near the darkness or density of the pumpernickel but has a very interesting texture and flavor.
I'm pretty sure Baltic Bakery's retail store is still open (it was about a year ago) but note the address is
4627 S Hermitage Av (a couple blocks west of Ashland). It's a fairly interesting old place but last time I was there it was mid-afternoon and the goods had been pretty well picked over. I think I remember all or most items were pre-wrapped in plastic. You expect that in supermarkets but it's kind of annoying at the source. In addition to the baked goods they have a limited selection of grocery items including a better than average selection of yogurt, kefir, farmer's cheese, etc. I guess this is still where they do all the baking. I imagine it would be fascinating to have a look at their old equipment.
There's plenty so see and eat within a few blocks of Baltic Bakery. Restaurante Oaxaca is at 4612 S Ashland. The stretch of 47th between Ashland and Damen is very dense with Mexican businesses. Promising looking restaurants include Agua Azul (1632 W 47th), Sanches (1922 W 47th), La Cecina (1934 W 47th), and many more. You can even have your cookware retinned at Archer Tinning & Retinning (1019 W 47th).
I'd been meaning to try your Roquefort on brick sandwich but had forgotten about it. I'm generally not the biggest fan of raw egg yolks but I'll give it a try one day soon.