You should stop and stay in Chicago for at least a day.
Yeah Rolling Stones, is a great place to pick up the common stuff, like if you want to fill in the blanks in your Yes, Deep Purple, Rush you'll find great deals on them like $5-7 a disc. They're metal collection isnt what it used to be, back in the day that is where I got all my shrapnel releases from but today its mostly the common bands. They have lots of un-official concert DVDs. Its worth while to hit Beyond the Limit just a couple doors down from there, they have a better T-Shirt and Magazine selection.
But for straight up metal just hit Metal Haven.