I always seem to find something good at
Fox & Obel. You can get pastry to go at the bakery counter, or you can get something in the cafe to eat there. Open 6 a.m. to midnight seven days.
I also love the entremets (mousse cakes) at
Vanille Patisserie, but neither the original location on Clybourn nor their booth at the French Market is open late.
And I've found some very good items at
Floriole, four blocks east of Vanille's Clybourn location, open till 7 during the week and 8 on weekends.
Fritz in Lakeview has some good stuff but they're only open till 6.
One place that won't meet your desire for a lower price than TRU is the Lobby at the Peninsula, which hosts the Chocolate Bar Friday and Saturday evenings. It's an all-you-can-eat buffet of 30-40 different chocolate desserts in smallish portion sizes so you can try a lot of them. They don't all blow me away but they're all decent and I always find a few that do. Around $32 or so.