I think there are many great European cheeses, and I think the quality of routine commercial Euro cheeses, the gouda's and gruyeres available at Costco is surprisingly high. Still, I barely ever get such cheeses*. Simply, when in Rome, one eats Roman cheese, right? We are so blessed with oustanding cheesemakers within a couple hundred miles of Chicago, who could ever get tired from these choices.
Both Marian Street Cheese and Pastoral offer excellent selections of local cheeses, although I think MSC leans a bit more obscure. Look especially for the following cheesemakers: BleuMont Dairy, Hidden Springs, Holland Family Farms, Capri, and Saxony.
Then, as mentioned, there's the farmer's markets. Brunkow has a large presence at the markets, and they make several outstanding varieties. Then, we are blessed with two outstanding goat cheese makers: Capriole (at Green City on Saturday) and Prairie Fruit Farms (Oak Park and other markets).
Thing is, our local cheesemakers excel in so many different styles. There's the farmhouse/bandaged cheddars, none better than BleuMont's; the more typical American style (non-wrapped) cheddars, including the ultra aged Hooks and the one from Wisconsin standard bearer, Carr Valley. Alpine style cheese are especially well made in Wisconsin, including Pleasant Ridge Reserve and Roth Kase's Private Reserve. Then again, that gouda from Holland may be the best of them all. And it's hardly cow's milk, the goat cheese ones already mentioned and the sheep's milk cheese from Hidden Springs. Man, there's more than enough!
*I love feta, and the supply of good quality local feta is very limited. Capri sells some good stuff at the Madison farmer's market, but that's about it. I do end up purchasing a fair amount of non-local feta.
Think Yiddish, Dress British - Advice of Evil Ronnie to me.