Best lamb I've purchased in the area was sourced from Mint Creek Farm (Stelle, IL). I know they sell at the Green City Market, including the winter market at Peggy Notebart on Saturday's. You can also order direct and they'll ship to your door.
http://mintcreekfarm.com/I bought a whole lamb a couple years ago, and it was truly excellent. They have a wide variety of cuts available at their market stand, but I'd recommend calling ahead if you want something specific.
Here's a list of both their winter/fall market participation, and also stores that (i'm guessing) carry their stuff year round:
Markets:
61st Street Indoor Market -Every Saturday From 9am-2pm through December, then once per month Jan-April.
Held inside Experimental Station, 6100 S Blackstone Avenue, Chicago, IL
Green City Indoor Market -Every Saturday from 8am-1pm through December, then every other week Jan- April.
Held inside Nature Museum, 2430 N Cannon Drive, Chicago, IL
Logan Square Indoor Market -Every Sunday from 10-3pm, Nov-April
Held inside closed Pierre’s Bakery building at 2755 N Milwaukee Avenue, Chicago, IL
Glenwood Sunday Indoor Market -1-2 times per month from 9am-2pm, Nov-May
Held inside the Glenwood Bar 6962 N Glenwood Avenue, Chicago, IL
Stores:
Dill Pickle Food Co-op
3039 W Fullerton
Chicago, IL 60647
Green Grocer Chicago
1402 W Grand Ave
Chicago, IL 60622
Heritage Prairie Market
2N308 Brundige Road
Elburn, IL 60119