Having spent probably 30+ years shopping in and around Milwaukee for the best, living In Somers with access to Chicago markets, I can unequivocally say, the ethnic markets of tge Chicago completely outclass the Milwaukee markets of any kinds. Decades ago the Sendik's were standouts but today with the proliferation of Sendiks and the additions of Woodmans and Whole Foods , Sendiks does a decent job but is costly and doesn't stand out anymore.
For most items except for meat/fish, Woodman's is a standout.
Whole Foods is a mind set selling an experience so buyers feel good about thenselves. The French Cheese selection is good though.
Pick n Save has decent beef but after that the local stores are dismal except for Mequon where its like a different chain!
Grasch's in Brookfield used to offer good fish but after another dismal quality issue with soft shell crab this weekend, I can't reccamend Grashs anymore. They do have an in house Sushi maker that does an excellent job!
I have been making forays into Illinois to Fresh Market on Toughy and H Mart for fresh produce and fish and meat. One can not beat the quality/price ratio at Fresh Farms as well as selection. H Mart has tanks of live lobster, crab and fish.
There are many other ethnic markets around Chicago to support whatever your wants and the pricing is usually competative.
The downtown Mikwaukee market is just not on my radar screen.
One last topic. Sausage. In Chicago, Fresh Polish is a commodity, made to sell at a low price point, its good but not outstanding, .Usingers is actually better but European Homemade outclasses any I have had and I've purchased from just about every place around Chicago from Bobaks to Genes.
So I load two coolers into my wagon and make a foray every few weeks into Illinois and rarely anymore venture towards Milwaukee for food.-Dick