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Steve's Deli, in River North. They're also very, very good. Unlike, say, Kaufman's, whose knishes have a very thick crust, the ones at Steve's have a thin crust that doesn't overpower the filling. These are my favorite knishes in town. And yes, they are sort of square shaped, rather than the round balls at Kaufman's.
Tip: If you're driving to Steve's, they offer free validated parking in the Ace/CVS lot behind the store.