I would just like to second a few already mentioned. I think Fox & Obel, Vanile Patisserie and Bittersweet are three of the best, though in truth I have not been to Bittersweet in about a year. V.P. and F&O - so far they have never disappointed me, and sometimes amaze me. Sweet Thang has some very nice things, though I believe V.P.'s croissant to be a notch above theirs. Vienna Pastry has some fine pastry a few notches down from these as well, IMO.
When Red Hen first opened, the few sweets they made were good, but I only recall them having a few, basic cookie or cookie-bar type treats. But that's been a while for me.
I have heard good things about Bonjour Bakery as well, though never been. And finally, the pastry shop/cafe attached to the Penninsula Hotel, Pierrot Gourmet, and Albert's Cafe on...Elm, I think, have some nice things.
Others have raved about Ambrosia Bakery in Barrington as well as some place in Lake Forest as being superb french-style bakeries or maybe pastry shops, but I've never been to either. These sound promising, but pretty removed from the central metro area.
Selmarie I have tried and tried to like because it's so cute, but I don't. No dairy item (cream, butter) tastes of dairy. And Bom Bon - this is practically heretical, but though I like them, I really don't think they are in the same league as VP, F&O, Bittersweet at all. Last year I ate something of theirs once a week for 5 weeks while taking a class in the area, and it was all fine, just not superior, IMHO.
Was the discussion of Is Chicago a Seafood Town here or on another forum? I can't remember, but I do recall thinking that we're not really a Pastry/Bakery town (or an ice cream town) either, in the same way that NYC and San Francisco are for pastry or NYC and Boston are for ice cream. Probably better for my waistline, anyway.